2015年度

Math-Fi seminar on 2 Apr.

2015.03.25 Wed up
  • Date : 2 Apr. (Thu)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30-18:00
  • Speaker: Olivier Menoukeu Pamen (Liverpool University)
  • Title: ON EXISTENCE, UNIQUENESS AND MALLIAVIN SMOTHNESS OF STRONG SOLUTION OF SDE’S WITH IRREGULAR DRIFT
  • Abstract: In this talk, I shall present a new approach to construct strong solutions of stochastic equations with merely measurable coefficients. The aim is to demonstrate the principles of this technique by analyzing stochastic differential equations driven by Brownian motion. An important and rather surprising consequence of the method which is based on Malliavin calculus is that the solutions derived by A. Y. Veretennikov (1979) for Brownian motion with bounded and measurable drift in Rd are Malliavin differentiable. Applications of our approach to solutions of the Kolmogorov equation will also so be discussed.

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