Rough Path Analysis and Stochastic Differential Equations
Oct 3, 2011, 01:00 PM - 02:30 PM | 736 Evans Hall | Happening As Scheduled
Fraydoun Rezakhanlou, UC Berkeley (Speaker)
A stochastic differential equation (SDE) is an ODE with a rough driving control. Ito calculus gives a recipe for solving a SDE by an approximation that converges only in L2 sense with respect to the underlying randomness. Ideally we would like to replace the rough control with a smooth approximation, solve the resulting equation and pass to the limit. Unfortunately this deterministic...