- Erhan Bayraktar (Princeton):
Fractional Brownian motion and finance
This is joint work with H.V. Poor (abstract as a
PS-file).
- Christian Bender (Konstantz):
On the Fractional Clark-Ocone Theorem (H > 1/2)
This is joint work with R.J. Elliott (abstract
as a PS-file).
- Mine Caglar (Istanbul):
FBM as a limit of integrals with respect to a Poisson random measure
We first review how persistent and antipersistent FBM can be approximated using
micropulses integrated with respect to a Poisson random measure. We show that
this approach yields an efficient numerical algorithm. Through a similar
construction in workload input models, a persistent FBM arises as a heavy
traffic limit. We prove a functional central limit theorem for this purpose.
The integrands here, which have replaced the micropulses of the first
approximation, are discussed.
- Pavel Gapeev (Moscow):
About Fractional Bond Markets
(abstract
as a PS-file).
- Dario Gasbarra (Helsinki):
On fractional Brownian bridges
- Stefan Geiss (Jyväskylä):
Do random time nets decrease the
hedging error for European contigent
claims?
- Terhi Kaarakka (Joensuu):
On Fractional Ornstein-Uhlenbeck Processes
- Ingemar Kaj (Uppsala):
Fractional Brownian and non-Brownian motions
approximating scaled long-memory processes
- Yuriy Kozachenko (Kyiv):
On estimation of the multiparameter fractional Brownian motion
This is joint work with O.O. Kurchenko.
- Mikhail Lifshits (St. Petersburg):
Small deviations for fractional stable processes
This is joint work with T. Simon (abstract as a
PS-file).
- Oleg Rusakov (St. Petersburg):
A Weak Convergence of Random Broken Lines Approach
to the Geometric Fractal Brownian Motion
and to the Fractional Ornstein-Uhlenbeck Process.
This is joint work with A. Liber (abstract
as a PS-file).
- Ciprian Tudor (Paris):
Ito formula and local times for the fractional Brownian sheet
We develop a stochastic calculus with respect to the fractional Brownian
sheet with Hurst parameters bigger than 1/2 and we derive an Ito formula.
As an application, we study the integral representation of the local time
of the fractional Brownian sheet.
- Esko Valkeila (Helsinki):
Semimartingales, initial enlargement and Girsanov theorems
- Olga Vasylyk (Kyiv):
Simulation of weakly self-similar Sub_\phi(\Omega) processes:
A series expansion approach
This is joint work with Yu. Kozachenko and T. Sottinen.
- Harry van Zanten (Amsterdam):
On the RKHS structure of the frequency domain of the fBm