[Forum SIS] UNIBO Statistics Seminars

[Silvia Cagnone]

We are glad to announce the following Statistics Seminar:



Thursday, March 25, 4.00 p.m.
Piergiacomo Sabino
 Quantitative Risk Management (E.ON SE, Essen, Germany)


Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes

Abstract
Constructing Levy-driven Ornstein-Uhlenbeck processes is a task closely related to the notion of self-decomposability. In particular, their transition laws are linked to the properties of what will be hereafter called the a-remainder of their self-decomposable stationary laws. In the present study we fully characterize the Levy triplet of these a-remainders and we provide a general framework to deduce the transition laws of the finite variation Ornstein-Uhlenbeck processes associated with tempered stable distributions. We focus finally on the subclass of the exponentially-modulated tempered stable laws and we derive the algorithms for an exact generation of the skeleton of Ornstein-Uhlenbeck processes related to such distributions, with the further advantage of adopting a procedure computationally more efficient than those already available in the existing literature.
The talk is based on a joint work with Prof. Nicola Cufaro Petroni.



Link for attending the event:  Fai clic qui per partecipare alla riunione<https://teams.microsoft.com/l/meetup-join/19%3ameeting_MzBlYTc3NTgtMzA0Mi00MzJlLTkzZTMtZTYyZWVjYThkODM2%40thread.v2/0?context=%7b%22Tid%22%3a%22e99647dc-1b08-454a-bf8c-699181b389ab%22%2c%22Oid%22%3a%227e2f9ad3-2ed9-4de5-92d7-0410f174dfda%22%7d>


Contact person: Alberto Lanconelli


Silvia Cagnone
Delegate of the International Relations
Deputy Director of the PhD programme in Statistics
Department of Statistical Sciences
University of Bologna
Via delle belle arti 41 - 40126  Bologna,  ITALY
Tel: +39 051 2098213<tel:%2B39%20051%202098213>
https://www.unibo.it/sitoweb/silvia.cagnone/


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