• Event Date: November 14, 2014
  • Event End Date: November 14, 2014
  • Event Start Time: 11:45 AM
  • Event End Time: 12:45 PM
  • Event Location: Hill 425
  • Event Type: Mathematical Finance and Probability Seminars
  • Extra Info: Camelia Pop, University of Pennsylvania

Speaker: Camelia Pop, University of Pennsylvania

ABSTRACT

We study various probabilistic and analytical properties of a class of degenerate diffusion operators arising in population genetics, the so-called generalized Kimura diffusion operators. Our main results are a stochastic representation of weak solutions to a degenerate parabolic equation with singular lower-order coefficients, and the proof of the scale-invariant Harnack inequality for nonnegative solutions to the Kimura parabolic equation. The stochastic representation of solutions that we establish is a considerable generalization of the classical results on Feynman-Kac formulas concerning the assumptions on the degeneracy of the diffusion matrix, the boundedness of the drift coefficients, and on the a priori regularity of the weak solutions. This is joint work with Charles Epstein.