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DTSTART;TZID=Europe/Sofia:20230628T140000
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DTSTAMP:20230626T143018Z
CREATED:20230626T143018Z
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UID:14619-1687960800-1687966200@math.bas.bg
SUMMARY:Национален семинар по стохастика
DESCRIPTION:Поредната сбирка на \nНационалния семинар по стохастика\nще се проведе на 28 юни 2023 г. (сряда) от 14:00 часа в зала 503 на ИМИ – БАН. \nДоклад на тема \nThe inverse first-passage time problem for general stochastic processes including Lévy processes and diffusions\n(joint work with Mladen Savov)\nще изнесе \nAlexander Klump (postdoctoral fellow (DAAD) at the IMI-BAS). \nАбстракт: The inverse first-passage time problem for a stochastic process X(t)\, t ≥ 0\, consists of the following question. Given a distribution on the positive real numbers\, does there exist a function b such that the first-passage time τ = inf{t > 0 : X_t ≥ b(t)} has this given distribution? In this talk we will give conditions on the process X(t)\, t ≥ 0\, under which the answer is affirmative. For a Markov process we present further additional conditions under which the solutions of the inverse first-passage time problem are unique. These conditions include Lévy processes with infinite activity or unbounded variation and diffusions on an interval with appropriate behavior at the boundaries. This extends the results in the inverse first-passage time problem for Brownian motion to a class of processes with discontinuous paths and\, for example\, allows a new range of applications. \n 
URL:https://math.bas.bg/event/%d0%bd%d0%b0%d1%86%d0%b8%d0%be%d0%bd%d0%b0%d0%bb%d0%b5%d0%bd-%d1%81%d0%b5%d0%bc%d0%b8%d0%bd%d0%b0%d1%80-%d0%bf%d0%be-%d1%81%d1%82%d0%be%d1%85%d0%b0%d1%81%d1%82%d0%b8%d0%ba%d0%b0-36/
LOCATION:Институт по математика и информатика – БАН\, Block 8\, 1113 БАН IV км.\, София\, Bulgaria
CATEGORIES:Редовен семинар
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