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Jordan Stoyanov: Probability Distributions and Their Moment Determinacy

Date of publication: 11. 3. 2019
Seminar for probability, statistics, and financial mathematics
Četrtek, 14. marca 2019, ob 14:15 v predavalnici 2.03 na FMF, Jadranska 21, Ljubljana.

V četrtek, 14. marca 2019, ob 14:15 bo v predavalnici 2.03 Fakultete za matematiko in fiziko Univerze v Ljubljani na Jadranski ulici 21 v Ljubljani potekalo predavanje Jordana Stoyanova (Sofia) z naslovom Probability Distributions and Their Moment Determinacy.

Povzetek:  It is well-known that any distribution with finite moments is either determined uniquely by its moments (M-determinate), or it is non-unique (M-indeterminate). We focus on easily checkable conditions for M-determinacy. It will be shown the role  of the uniqueness for some limit theorems and also in applications. In particular, in Financial Mathematics for finding good bounds for option prices in terms of the moments of the stock price. We are going to discuss both theoretical and applied aspect. Some very new results will be reported, and if time permits, some open questions will be outlined. The talk would be of interest to graduate students in Probability, Statistics, Financial Mathematics and Analysis.