Tid: 24 september 2001 kl 1515-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Bronius Grigelionis, Vilnius.
Titel: On the extreme value theory for H-diffusions
Sammanfattning:
The ergodic strictly stationary diffusion processes on an open interval
with the predetermined stationary distribution H, named H-diffusions,
are considered. The analogues of the Gnedenko
and von
Mises theorems from
the classical extreme value theory are presented. Some examples, including
well-known diffusion models from population genetics, population growth,
neurobiology, mathematical finance etc. are discussed. Sufficient
conditions for vague convergence of the time-normalized point measures of
-upcrossings
of H-diffusions to the Poisson
one are also
discussed.