確率論セミナー


2017/5/30(Tue)

16:30--18:00 数学教室 大セミナー室 (E404)

Alexander A. Novikov

University of Technology Sydney

On the integrals of exponents and maximum fractional Brownian Motion: some analytical and numerical results

The main focus of the talk is on the problem of finding analytical and numerical approximations to the integrals of exponents and maximum of fractional Brownian motion (fBm).

A new representation for fBm arising in the context of the problem of finding of the limit distributions of Bayesian and maximum likelihood estimators in the "signal plus white noise" model with irregular cusp-type signals will be discussed. The bounds for the distributions, the expected value of maximum of fBm and related inequalities will also be discussed.