时间：2014年4月29日（周二） 下午1:30

地点：浦江办公楼408会议室

内容： White noise analysis for the fractional Levy process

主讲人：吕学斌 博士

Abstract:

As the generalization of the fractional Brownian motion, the fractional Levy process provides more flexibility concerning the distribution of the driving noises in different applications such as mathematical finance and network traffic analysis while capturing the long memory effects. With the more and more attention paid to the fractional Levy process, the stochastic calculus for the fractional Levy process and the stochastic differential equations driven by the process have arisen interests to researchers. But the fractional Levy process is not a semi-martingale, its sample path is not regular either, it is difficult to define its stochastic integral. The purpose of this research is to develop white noise theory for the fractional Levy process. Based on white noise theory for Levy process with finite moment of any order and without drift, we conduct the stochastic integral for the fractional Levy process. Moreover, we investigate the integrable condition and the properties of the integral for the fractional Levy process.