Lévy-type stochastic integrals and Itô formula

11 Novembro 2016, 11:00 • João Guerra

Lévy-type stochastic integrals. 

Itô formula for Lévy-type stochastic integrals. 

Example of application of the Itô formula. 

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Lévy-Itô decomposition and stochastic integration w.r.t. Lévy processes

7 Novembro 2016, 11:30 • João Guerra

Lévy-Itô decomposition and stochastic integration w.r.t. Lévy processes

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Stochastic Poisson integral and exercises

4 Novembro 2016, 11:00 • João Guerra

Poisson random measure and compensated Poisson reandom measure. 

Stochastic Poisson integrals for deterministic functions. Definition and properties. 

Stochastic Poisson integrals and compensated stochastic Poisson integrals. Examples and exercises. 

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Lévy processes, Markov property, martingale property

31 Outubro 2016, 11:30 • João Guerra

Markov property of Lévy processes. 

Lévy processes which are martingales. Examples. 

Poisson random measure. Definition and properties. 

The Poisson stochastic integral for deterministic functions. 

 

 

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Subordinators. Lévy processes defined by subordination

28 Outubro 2016, 11:00 • João Guerra

Subordinators. Examples. 

Lévy processes defined by subordination. 

The Variance-Gamma process. 

The Gamma subordinator. 

The Inverse Gaussian subordinator. 

The CGMY process. 

 

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