OxTalks will soon move to the new Halo platform and will become 'Oxford Events.' There will be a need for an OxTalks freeze. This was previously planned for Friday 14th November – a new date will be shared as soon as it is available (full details will be available on the Staff Gateway).
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docs.google.com/spreadsheets/d/1f8qVDhJVjjzt1slDbwiEwwKS77Bb4Yk_kg4vCM4ObfI/edit?usp=sharing
Abstract
I discuss some computational problems associated with distributions of statistics arising from the fractional Brownian motion (fBm). In particular, I deal with (ratios of) its quadratic functionals. While it is easy in principle to deal with the standard Bm, the fBm is difficult to analyse because of its non-semimartingale nature. Here I suggest how to derive and compute the distributions of such functionals by using a martingale approximation.
