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Name: Jevgenijs Ivanovs

Talk Title: Graphical models for infinite measures with applications to extremes and Lévy processes

Abstract: Measures exploding at the origin are fundamental in the study of extremes and stochastic processes. For example, they appear in construction of max-infinitely divisible distributions and Lévy processes. We define a notion of conditional independence for such measures and establish a number of its equivalent characterizations. In particular, it includes the recent notion of extremal conditional independence for multivariate Pareto distributions without a density assumption. Furthermore, structural max-linear models can be put into this framework as well. This is a joint work with Sebastian Engelke and Kirstin Strokorb.

This talk is an invited talk at EVA 2021.