Title: Dynamical and Distributional Behavior of G-Brownian Motion
Speaker: Shige Peng
Speaker Info: Shandong University
Brief Description:
Special Note:

In a real world where probability measures cannot be entered determined the classical notion of Brownian motion has to be replaced by a new type of G-Brownian motion. In this talk we present some typical dynamical and distributional properties of this G-Brownian motion, where G is a simple sublunar (Generator) function characterizing the entire behaviors of the Brownian motion.

A G-Brownian motion can be uniquely decomposed by a first order and a second order one. The first order G-Brownian motion is a very interesting incrementally stable and independent process with bounded speed.

Date: Wednesday, October 30, 2019
Time: 4:10pm
Where: Lunt 105
Contact Person: Ezra Getzler
Contact email: getzler@northwestern.edu
Contact Phone:
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