Si avvisa che in data 16/4/2019, alle ore 14:30 , presso Aula seminari del sesto piano, nell’ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario:
Titolo: Limit Theorems for the Fractional Non-homogeneous Poisson Process
Relatore: Enrico Scalas, University of Sussex
The fractional non-homogeneous Poisson process was introduced by a time-change of the non-homogeneous Poisson process with the inverse α-stable subordinator. We propose a similar definition for the (non-homogeneous) fractional compound Poisson process. We give both finite-dimensional and functional limit theorems for the fractional non-homogeneous Poisson process and the fractional compound Poisson process. The results are derived by using martingale methods, regular variation properties and Anscombe\’s theorem. Eventually, some of the limit results are verified in a Monte Carlo simulation.
This is a joint work with Nikolai Leonenko and Mailan Trinh.