Seminarium i matematisk statistik
fredagen den 19 maj 13.15 i MH:227

Bengt Ringnér
Matematisk statistik
Matematikcentrum
Lunds universitet

Titel:
Stochastic integration

Abstract:
The essential points in stochastic integration seem to
be a well kept secret. Most textbooks start with 100 pages
of definitions and lemmas regarding the relations between
various sigma-algebras, which one has to go through in order
to find out whether the rest is what one needs or not. 
Further, the Poisson process is seldom treated, but only the
Wiener process since processes with jumps are considered too
"difficult".

The seminar will give an overview over the main tools and results
and indications where to find important clues in the literature.
The prequisites will be the Loève criterion in the undergraduate
course on stochastic processes or basic knowledge of Hilbert spaces.

Concepts which will be explained are: Integration when second-order
moments are finite, relation to ordinary integration, predictible
integrands, predictable vs. totally inaccessible stopping-rules,
semi-martingales, and Ito rule.