Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)
A stochastic version of the Ambrosio-DiPerna-Lions' theory
Thursday, February 03, 2011 at 01:30pm - 02:30pm
Speaker: Alessio Figalli, University of Texas at Austin
At the beginning of the 90's, DiPerna and Lions developed a kind of "well-posedness theory for ODEs" with Sobolev vector fields. This theory was revised, and generalized to BV vector fields, by Ambrosio in 2004.In this talk we will show how this theory can be extended to SDEs. Roughly speaking such a theory allows to prove, under weak regularity assumptions on the coefficient, existence and uniqueness of martingale solutions for Lebesgue almost every initial condition.
Speaker: Alessio Figalli, University of Texas at Austin
Slides: (TBA)
Speaker: Alessio Figalli, University of Texas at Austin
Slides: (TBA)
Location Hill 705