School Seminars and Colloquia

A family of non-Gaussian martingales with Gaussian marginals

Stochastic Processes Seminar

by Kais Hamza


Institution: School of Mathematical Sciences, Monash University
Date: Thu 1st June 2006
Time: 1:15 PM
Location: Room 213, Richard Berry Building, University of MElbourne

Abstract: We construct a family of non-Gaussian martingales the marginals of which are all Gaussian. We give the predictable quadratic variation of these processes and show they do not have continuous paths. These processes are Markovian and inhomogeneous in time, and we give their infinitesimal
generators. Within this family we find a class of piecewise deterministic pure jump processes and describe the laws of jumps and times between the jumps.

For More Information: For further details, please contact Prof Daniel Dufresne at dufresne@unimelb.edu.au or Dr Aihua Xia at xia@ms.unimelb.edu.au