Speaker: Zhonggen Su, professor and doctoral supervisor, Zhejiang University

Date: December 7, 2023

Time: 15:00-16:00

Location: Tencent: 927 834 110

Sponsor: Zhongtai Securities Institute for Financial Studies, Shandong University

Abstract:

The Airy process is a real-valued random process whose finite-dimensional distribution is determined by a Fredholm determinant with an Airy kernel. It was first introduced by Prahofer and Spohn in the study of the polynuclear growth model more than 20 years ago and has become a central object in the KPZ universality class. There have been some intensive research activities around the Airy process, some of which have rigorously proved its existence, time correlation, and continuity, and more interestingly obtained the modulus of continuity. Compared to well- studied Brownian motions, Brownian bridges, and even Ornstein-Ulenbeck processes, the Airy process and its extension (i.e. Airy line ensembles) are new, so it is worthwhile further research. In this talk, I shall briefly review some remarkable results in this field with focus on the increments of Airy process sample paths. No detailed proofs are given.

For more information, please visit:

http://mathfinance.sdu.edu.cn/info/1273/7356.htm