Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation
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Abstract

I discuss some computational problems associated with distributions of statistics arising from the fractional Brownian motion (fBm). In particular, I deal with (ratios of) its quadratic functionals. While it is easy in principle to deal with the standard Bm, the fBm is difficult to analyse because of its non-semimartingale nature. Here I suggest how to derive and compute the distributions of such functionals by using a martingale approximation.
Date: 18 May 2018, 14:15 (Friday, 4th week, Trinity 2018)
Venue: Manor Road Building, Manor Road OX1 3UQ
Venue Details: Lecture Theatre
Speaker: Katsuto Tanaka (Gakushuin University)
Organising department: Department of Economics
Hosts: Anne Pouliquen (University of Oxford), Erin Saunders (University of Oxford)
Part of: Nuffield Econometrics Seminar
Booking required?: Not required
Audience: Members of the University only
Editors: Erin Saunders, Anne Pouliquen, Melis Clark