Tid: 24 september 2001 kl 1515-1700

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Bronius Grigelionis, Vilnius.

Titel: On the extreme value theory for H-diffusions

Sammanfattning: The ergodic strictly stationary diffusion processes on an open interval with the predetermined stationary distribution H, named H-diffusions, are considered. The analogues of the Gnedenko and von Mises theorems from the classical extreme value theory are presented. Some examples, including well-known diffusion models from population genetics, population growth, neurobiology, mathematical finance etc. are discussed. Sufficient conditions for vague convergence of the time-normalized point measures of varepsilon-upcrossings of H-diffusions to the Poisson one are also discussed.

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