Seminar at SMU Delhi
July 30, 2014 (Wednesday) ,
3:30 PM at Webinar
Speaker:
Arun Sharma,
IIT, Mumbai
Title:
Subordinated Stochastic Processes
Abstract of Talk
Subordinated stochastic processes (also called time-changed processes) $X(T (t))$ are obtained
by time changing a parent process $X(t)$ with a positive non-decreasing stochastic process $T (t).$
The process $X(T (t))$ is said to be subordinated to the process $X(t)$ and the subordinator $T (t)$
is called the directing process. Subordinated processes have interesting probabilistic proper-
ties and have applications in finance, economics, statistical physics and fractional calculus.
The aim of this talk is to introduce the concept of time-changed processes and to
discuss the application of these processes in different fields. The idea is also to introduce
different time-changed processes that have been used in literature in recent years.