Event Detail

Event Type: 
Department Event
Date/Time: 
Wednesday, June 30, 2010 - 08:00 to 09:00
Location: 
Kidder 364
Abstract: 

Title: Ranked excursion heights and first passage time of skew Brownian motion

Abstract: Ever since the introduction of skew Brownian motion by Ito and McKean, there have been several papers appeared in mathematics literature highlighting the special structure of it and connecting it to diverse applications, (Ill give some examples in the talk). In this talk Ill explain how to derive the distribution of ranked excursion heights of skew Brownian motion. Moreover, Ill talk about how one can use this distribution of ranked excursion heights to obtain the first passage time distribution of skew Brownian motion, which has applications in numerous fields, (again Ill give some examples in the talk).