Dr. Paolo Pigato, Weierstrass Institute for Applied Analysis and Stochastics, Berlino
Date: 28 FEBRUARY 2019 at 16:00
Event location: Aula seminari - Dipartimento di Scienze Statistiche, I piano
Type: Statistics Seminars
Abstract:
"We recall some classic results on the regularity of solutions of stochastic differential equations. Then we consider two specific diffusion processes satisfying hypoellipticity conditions of Hormander type. Using Malliavin Calculus techniques recently developed to deal with degenerate problems, we find estimates for the density of the law of the solution, which we use to prove exponential bounds for the probability that the diffusion remains in a small tube, around a deterministic path, up to a given time. We then present some work in progress on asymptotic sharp estimates for the density and its derivatives for a similar, higher dimensional system."
L’Organizzatore Il Direttore
Dott. Alberto Lanconelli Prof. Angela Montanari
La S.V. è invitata