Vladimir Pozdnyakov, Professor
Department of Statistics
University of Connecticut
Discretely Observed Brownian Motion Governed by a
Telegraph Process: Estimation
Abstract
A Brownian motion whose infinitesimal variance alternates according to a telegraph process is considered. This stochastic process can be employed to model variety of real-word situations. In this work we applied our findings for animal movement analysis. Another possible application is stochastic volatility modeling in mathematical finance. The main goal is to develop an estimation procedure for underlying model parameters when the Brownian Motion governed by telegraph process is observed discretely. Resulting sequence of observations is not Markov. But since the location-state process is Markov, the likelihood estimation can be done with help of Hidden Markov Model tools.
DATE: Wednesday, October 3, 2018
TIME: 4:00 pm
PLACE: Philip E. Austin Bldg., Rm. 108
Coffee will be served at 3:30 pm in the Noether Lounge (AUST 326)
For more information, contact: Tracy Burke at tracy.burke@uconn.edu