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 M3//EN
VERSION:2.0
CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20231006T102436Z
DTSTART:20231011T140000Z
DTEND:20231011T150000Z
SUMMARY:Purba Das - Roughness along Schauder type basis
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}a1y8-lmyxg9
 fi-tkayuh
DESCRIPTION:Purba Das (King's College London) will speak in the Probabili
 ty seminar. (in-person)\n\nWe present several constructions of paths and
  processes with finite quadratic/ p-th variation along a refining sequen
 ce of partitions\, extending previous constructions to the non-uniform c
 ase.  We show that the variation index of a process along a given partit
 ion sequence (the infimum value p such that the p-th variation is finite
 ) may not be equal to the reciprocal of Hölder exponent\, and provide a 
 pathwise estimator of Hölder exponent. Moreover\, we construct a non-Gau
 ssian family of stochastic processes which are statistically indistingui
 shable from (fractional) Brownian motions. Therefore\, when observing a 
 sample path from a process\, one should not measure its Hölder roughness
  by computing p-th variation and should not conclude that the sample is 
 from Brownian motion or fractional Brownian motion even though it exhibi
 ts the same properties of those Gaussian processes. 
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:Max Newman Room G.107\, Alan Turing Building\, Manchester
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