In this paper we establish a version of the Feynman-Kac formula for the stochastic heat equation with a multiplicative fractional Brownian sheet. We prove the smoothness of the density of the solution, and the Holder regularity in the space and time variables.
Speaker: Jian Song, Kansas University
Slides: (TBA)
Event Details
Feynman-Kac Formula for Heat Equation Driven by Fractional White Noise
- Event Date: April 20, 2010
- Event End Date: April 20, 2010
- Event Start Time: 1:45 PM
- Event End Time: 2:45 PM
- Event Location: Hill 525
- Event Type: Mathematical Finance and Probability Seminars
- Extra Info: Speaker: Jian Song, Kansas University