KTH Matematik  

Matematisk Statistik

Tid: 14 maj 2012 kl 15.15-16.00.

Seminarierummet 3721, Institutionen för Matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Alili Larbi , University of Warwick

Titel: On some involutive inversions of one dimensional transient diffusions

Abstract Given a regular one dimensional diffusion on an interval, where regular boundaries are killing, we show that, in some sense, this has a unique inverse with respect to a fixed point in the state space. This inverse process when appropriately time-changed is the dual process which law is obtained by Doob h-transforming the law of the original diffusion. Conversely, given a positive harmonic function h on that interval (or a scale function) , satisfying some reasonable conditions, we show that the Doob h-transformed process can be obtained explicitly in terms of inversion of the original diffusion with a time change. The construction involves some interesting involutions and random clocks.

This is joint work with P. Graczyk and T. Zak.

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Sidansvarig: Filip Lindskog
Uppdaterad: 25/02-2009