CRM: Centro De Giorgi
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Advances in Mathematical Finance and Optimal Transport

On the non-Markov property: Gaussian processes and beyond

speaker: Stefan Gerhold (Vienna University of Technology)

abstract: Our goal is to prove non-Markovianity of certain stochastic processes, which are "obviously" not Markovian by construction. The existing proofs only deal with fractional Brownian motion and mild generalizations. We fully characterise one-dimensional self-similar Gaussian Markov processes. A partial result is obtained for the multi-dimensional case. Work in progress deals with non-Gaussian processes defined by stochastic Volterra equations. We also present some results on non-semimartingales. Joint work with Benedict Bauer and Kristof Wiedermann.

Tue 28 Jun, 12:00 - 12:45, Aula Dini
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