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)
Event Details
A stochastic version of the Ambrosio-DiPerna-Lions' theory
- Event Date: February 3, 2011
- Event End Date: February 3, 2011
- Event Start Time: 1:30 PM
- Event End Time: 2:30 PM
- Event Location: Hill 705
- Event Type: Mathematical Finance and Probability Seminars
- Extra Info: Speaker: Alessio Figalli, University of Texas at Austin