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Title
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Room
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Stochastic Calculus with Long-Memory Processes
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H-Grand Salon D
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Date / Time
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Sponsor
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Type
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08/07/2001
10:30 AM
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12:20 PM
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IMS
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Invited
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Organizer:
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Jay Breidt, Colorado State University
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Chair:
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Anindya Roy, University of Maryland, Baltimore County
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Discussant:
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Description
This session is relevant to the JSM 2001 theme of "Statistical Science for the Information Age" because applications in information-rich fields, including financial econometrics and network traffic analysis, have spurred many recent developments in long-memory modeling. For such applications, it is natural to consider generalizing stochastic differential equations (SDEs) driven by Brownian motion to SDEs driven by fractional Brownian motion (fBm). Due to the technical condition that fBm is not a semi-martingale, the standard Ito calculus for SDEs does not apply. The speakers in this session are major contributors to the recent literature on developing an appropriate stochastic calculus for the fBm case, as well as on extensions to other long-memory cases.
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