[02436] Subordinated Stochastic Processes and Applications
Session Time & Room : 2E (Aug.22, 17:40-19:20) @F412
Type : Contributed Talk
Abstract : A Subordinated stochastic process is obtained by time changing a parent process X_t with a positive
non-deceasing stochastic process T_t. The process T_t is called the directing process or the random clock.
Subordinated processes demonstrate interesting probabilistic properties and have applications in finance,
economics, statistical physics, anomalous diffusion and fractional calculus. Also scaling limits of continuous time
random walk depending on the conditions on mean waiting times and second moments conditions on jumps
converges weakly to different subordinated stochastic process. The aim of this talk is to discuss the concept of subordinated processes and their connections to different fields.