Statistics Seminar 2019 - “The Clark-Ocone formula and the Poincare' inequality for point processes”

Data: 06 febbraio 2019 dalle 14:30 alle 16:30
Luogo: Dipartimento di Scienze Statistiche - via delle Belle Arti 41 - Aula seminari - I° piano

Relatore
Giovanni Luca Torrisi - CNR-Istituto per le Applicazioni del Calcolo “M. Picone” (Roma)

Abstract
Clark-Ocone formulas are powerful results in stochastic analysis with a variety of applications.
In the talk we provide the Clark-Ocone formula for square-integrable functionals of point processes with stochastic intensity. Then we present two applications of the formula: the Poincare' inequality and aconcentration bound for those functionals. Our results generalize the corresponding ones on the Poisson space. The talk is based on joint works with Ian Flint and Nicolas Privault (NTU, Singapore).

Organizzatore
Alberto Lanconelli