
Paths forced to cross unusually high barriers
The Mathematical Data Science Centre seminar series.
Date & time
Date/time
11 Aug 2025 1:00pm - 11 Aug 2025 2:00pm
Speaker
Speakers
Dale Roberts (The Australian National University)
Event series
Event series
Contact
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Description
Abstract: What does a stochastic path look like when it is forced to cross an unusually high barrier? We survey infinite- and finite-horizon first-passage probabilities and show how conditioning on the rare event shapes the Brownian bridge into a “flat-then-spike” profile. We then ask the question what happens when the path is no longer continuous and turn to Lévy processes with light, semi-heavy, and heavy tails. This leads to a taxonomy of path shapes for Lévy process conditioned to overshoot high levels within a fixed time window.
Location
Seminar Room 1.33, Hanna Neumann Building 145
Science Road, Acton ACT 2601
-35.275494045077, 149.11932542604