Seminar in applied mathematics and statistics

SPEAKER: Jevgenijs Ivanovs (Department of Mathematics, University of Aarhus).

TITLE: Failure to observe threshold exceedance by a Levy process over a dense grid.

ABSTRACT:  For a general Levy process X on a finite time interval, consider the probability of X exceeding some threshold x>0 while being below x at the points of a uniform grid. We find exact asymptotics of this probability as the number of grid points tends to infinity. This result crucially depends on the small-time behaviour of the given Levy process and, in particular, on the limit process when zooming-in, which will be discussed at length. No advanced knowledge of Levy processes will be assumed in this talk.

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Upcoming events:

Friday, May 3 at 13.15: Mette Asmild

Thursday, May 23 at 14.15: Andrea Macrina