KTH Matematik  

Matematisk Statistik

Tid: 27 oktober 2008 kl 15.15 .

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

Föredragshållare: Professor Gennady Samorodnitsky, Cornell University

Titel: Inverse problems for regular variation, linear filters, functional equations and a cancellation property for sigma-finite measures

Sammanfattning: We consider certain σ-finite measures which can be interpreted as the output of a linear filter. We assume that these measures have regularly tails and study whether the input to the linear filter must have regularly tails as well. This turns out to be related to the presence of a particular cancellation property in sigma-finite measures, which, in turn, is related to the uniqueness of the solution of certain functional equations. The techniques we develop are applied to weighted sums of iid random variables, to products of independent random variables, and to stochastic integrals with respect to Lévy motions.

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Sidansvarig: Filip Lindskog
Uppdaterad: 28/02-2008