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Lecture "High excursion probabilities for Gaussian fields on smooth manifolds" by Vladimir Piterbarg

Event ended

We are pleased to invite you to the online research seminar of Professor Kolesnikov and Professor Konakov “Stochastic Analysis and its Applications in Economics” which will be held in September, 30, 5-6:30pm.

Working language: Russian.

Speaker: Vladimir Piterbarg (Lomonosov Moscow State University; HSE).

The seminar’s topic: High Excursion Probabilities for Gaussian Fields on Smooth Manifolds.

Abstract: Gaussian random fields on finite dimensional smooth manifolds whose variances reach their maximum values at smooth sub-manifolds are considered. Exact asymptotic behaviors of probabilities of large excursions of their trajectories have been evaluated. Vector Gaussian processes, chi-square processes, Bessel process, fractional Bessel process, Bessel bridge are examples of application of this result. A detailed review on the subject will be given.

Zoom link: https://zoom.us/j/9076849531

For more information please contact  the lab manager Anna Belykh (abelykh@hse.ru)