Institute of Mathematics and Informatics

Семинар по приложна математика
2025-12-10 15:00 - 16:30 (Europe/Sofia) | Институт по математика и информатика – БАН, Block 8, 1113 БАН IV км., София, Bulgaria
Следващата сбирка на Семинара по приложна математика ще се проведе на 10 декември (сряда) от 15:00 в зала 503 на ИМИ-БАН.
Докладчик: Giuseppe D’Onofrio (Politecnico di Torino, Италия)
Заглавие: ADDITIVE SUBORDINATION OF MULTIPARAMETER MARKOV PROCESSES
Резюме: In this talk, we consider multiparameter multidimensional Markov processes that are time-changed by an independent additive subordinator, obtained from a Lévy process by relaxing the condition of stationary increments. By extending Phillips theorem, we show that the resulting process is a Feller evolution and we characterize its generator. We further derive its pseudo-differential representation and show that its symbol admits a Lévy-Khintchine representation. As an application, we consider a factor-based specification for the Ornstein-Uhlenbeck process subordinated by a Sato process. The constructive nature of this process is inspired by applications in finance which will be briefly discussed.
