School Seminars and Colloquia

Chaos expansion of Poisson functionals

Centre of Excellence for Mathematics and Statistics of Complex Systems Seminar

by Professor Guenter Last


Institution: Karlsruhe Universitaet
Date: Fri 4th September 2009
Time: 3:15 PM
Location: Theatre 1, ICT Bldg, Ground Floor, 111 Barry Street

Abstract: In the first part of the talk we recall the definition of a Poisson process on a general state space and discuss some basic properties of this process (random measure). Then we proceed with deriving an explicit Fock space representation for Poisson processes in terms of iterated difference operators. Finally we apply this result to get an explicit version of the Wiener-Ito chaos expansion and variance inequalities.

The talk is based on joint work with Mathew Penrose (Bath).

For More Information: contact: Kostya Borovkov. email: borovkov@unimelb.edu.au