Tid: 18 december 2006 kl 15.15-17.00

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

Föredragshållare: Henrik Hult.

Titel: On large deviations for stochastic processes with regularly varying tails. (Docentföreläsning).

Sammanfattning: We outline the framework of regularly varying probability distributions on a function space and a space of measures and show how it can be used to derive large deviation results for stochastic processes that have marginal distributions with regularly varying tails.

The typical behavior of such processes is very different from the classical case when marginal distributions are light-tailed, in the sense that large values typically occur because of one large shock in the underlying noise process. We will give several examples of this phenomenon including Levy processes, stochastic integrals, as well as some general results for stationary sequences of random variables with regularly varying distribution.

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