Apr 2012- Mar 2013

Math-Fi seminar on 23 Oct.

2012.10.18 Thu up
  • Date: 23 Oct. (Tue) 
  • Place: W.W. 7th-floor 3rd lab.
  • Time: 16:30–18:00
  • Speaker: Azmi MAKHLOUF
  • Title: Estimates for the density of functionals of SDE’s with irregular drift.
  • Abstract:
We obtain upper and lower bounds for the density of a functional of a diffusion whose drift is bounded and measurable. The argument consists of using Girsanov’s theorem together with an It\^o-Taylor expansion of the change of measure. One then applies Malliavin calculus techniques in a non-trivial manner so as to avoid the irregularity of the drift. An integration by parts formula for this set-up is obtained.

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