[ Institut für Mathematik | AG Stochastik ]

A Dynstoch course consisting of 6 lectures

took place at Mainz on February 4-7, 2002. The following topics were treated:

• Basic properties of fractional Brownian motion (FBM)
• Stochastic analysis with FBM: integration, Girsanov theorems, stochastic differential equations.
• Approximation of FBM's
• Applications. Connection to Gaussian processes.
• Parameter estimation.

There were 6 DYNSTOCH participants

A. Dalalyan (LeMans), E. Löcherbach (Paris XII), B. Markussen (Kopenhagen), T. Sottinen (Helsinki), M. Reiss (Berlin), H. Gingrich (Berlin),

and 2 guests:

C. Berger (Konstanz) and B. Schmidt (Berlin),

and a group of participants from probability and statistics at Mainz. The photos (Picture 1, Picture 2) have been sent to Mainz by B. Markussen.

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