Wednesday, June 2, 2010
Diffusive visitors seminars
We had two talks in the visitors seminar yesterday, both related to diffusions. Pavel Gapeev from LSE spoke about how to construct Levy driven processes by applying an invertible state space transformation to a solvable diffusion (say a CIR process), whereas Jean Francois Renaud from Waterloo described a simple yet far reaching method for discretizing a positive diffusion (say a CIR process). It is nice when back-to-back talks have a commonality like that, so the mind doesn't have to be jogged from one place to another.