报告人：ElenaIssoglio, 意大利人，伦敦国王学院讲师、博士后。毕业于德国耶拿大学和英国曼彻斯特大学，获得数学博士学位。2008年至2012年为欧盟玛丽居里初级人才培养计划初级研究员。

报告摘要：

These notes aredevoted to fractional Brownian motion (fBm) and its applications. FBm is afamily of Gaussian processes which has the interesting property of havingdependent increments, in particular, its increments can exhibit long-rangedependence. Moreover it is self-similar. Thanks to these properties, fBm can beapplied as a model in many fields, such as finance, neurobiology, physics ortelecommunications.  

In these notes, after abrief introduction to probability theory and stochastic processes, we definefBm and describe its many features. We then present in detail a theory ofstochastic integration with respect to fBm which is suitable for deterministicintegrands (Wiener integral) and we give an insight to some of the possibleextensions to stochastic integrands. Finally we present several examples indifferent fields where fBm can be applied as suitable source of noise.

主持人：井帅，讲师。

时间：2014年7月2日（周三）上午10:00-11:00，下午2:00-3:00，

      7月3日（周四）上午10:00-11:00。

地点：12BET沙河校区4号学院楼318会议室。