School Seminars and Colloquia

On the multivariate fractional Brownian motion

Stochastic Processes and Financial Mathematics

by Pierre-Olivier Amblard


Institution: CNRS-France & Dept Mathematics & Statistics, The University of Melbourne
Date: Wed 6th October 2010
Time: 3:15 PM
Location: David Caro-Hercus Theatre, Physics Room 105, The University of Melbourne

Abstract: The aim of the talk is to present some recent results on the multivariate fractional Brownian and its increment process.

We will review the definition and its implication onto the correlation structure of the process. Integral representations will be presented and linked to the correlation structure. We will exhibit long-range interdependence properties between components of the increments.

An analysis of the process through the lens of the wavelet transform will be done, providing ideas for future developments on estimation.

We will also present an algorithm to exactly generate
sample paths.

For More Information: contact: Prof Daniel Dufresne - dufresne@unimelb.edu.au OR Dr Aihua Xia - xia@ms.unimelb.edu.au