An interesting new problem in stochastic modeling

Prof. Patrick Dewilde

Patrick Dewilde (EE `66 KULeuven, Belgian Lic. Math. `68 and PhD `70 Stanford University) has
been a professor in Electrical Engineering at the Technical University of Delft for 31 years, director
of the Delft Institute for Micro-electronics DIMES for ten years, chairman of the Technology
Foundation STW (a major Dutch research funding agency) for eight years and director of the
Institute of Advanced Study of the TU Munich for five years. His research, published in the
international scientific literature and some books, has focused on mathematical issues related to the design, control and operations of dynamical systems in general and in particular circuits and
systems for signal processing. He is an IEEE Fellow since 1981, an elected member of the Dutch
Royal Academy of Arts and Science, has been elevated to the rank of Knight of the Dutch Lion and
is presently a honorary professor both at the Technische Universität München and the Technical
University of Wroclaw.

Keynote talk description 

This talk addresses the modeling of a non-Gaussian stochastic process based on a fully ordered sequence of measurement of moments or correlations. To do so, it uses recent results in the parametrization of all the moment generating functions that interpolate the given or measured correlation data.
While the parametrization problem appears to be adequately solved, the crucial numerical determination of the resulting cumulative probability function (cpf) or probability density function (pdf) appears to be a new interesting but unsolved problem, even in the single variable case.
The talk introduces the problem and its background, hoping to provide motivation for further research.