Apr 2012- Mar 2013

Math-Fi seminar on 13 Sep.

2012.08.28 Tue up
  • Date: 13 Sep (Thu)
  • Place: W.W. 7th-floor
  • Time: 15:00 — 17:30

 
15:00 — 16:00
  • Speaker: Freddy Delbaen
  • Title: BSDE with unbounded terminal Value, Uniqueness Problem.
  • Abstract:
We consider a BSDE with convex driver that is quadratically bounded.  If the terminal value has exponential moments higher than a critical exponent, then the solution exists and is unique.  However the uniqueness problem remains open if the exponential moment only exists up to this critical exponent.  This is joint work with Ying Hu and Adrien Richou.
 
16:30 — 17:30
  • Speaker: Eva Löcherbach
  • Title: Malliavin calculus and ergodicity of stochastic system forced by degenerate noises
  • Abstract:
We first have a fast review of Malliavin calculus, mainly on the existence and smoothness of density for degenerate SDEs. Then we briefly review strong Feller property, irreducibility, ergodicity of stochastic system and Doob’s method. Finally, we shall use Malliavin calculus to prove the ergodicity of some stochastic degenerate SDEs. 

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