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A heuristic introduction to the applications of Wiener-Hopf factorisation in random processes

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CAT - Complex analysis: techniques, applications and computations

Nature abounds with examples of stochastic processes, from scattering in porous media to fluctuations in neuronal signalling. Moving into a more abstract realm, we encounter Lévy processes in probabilistic theory and finance.
We will discuss the breadth of examples which can be studied under the lens of stochastic processes, with a focus on random walks. Further, we will illustrate the scope and application of Wiener-Hopf factorisation to these problems by the calculation of a first passage time quantity in a simplified model.

This talk is part of the Isaac Newton Institute Seminar Series series.

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