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Path independence of Girsanov density for SDEs with a stochastically dynamical system perspective
【2014.8.27 3:00pm, N602】

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 2014-8-26 

  Colloquia & Seminars 

  Speaker

吴奖论 教授,Swansea University

  Title

Path independence of Girsanov density for SDEs with a stochastically dynamical system perspective

  Time

2014.8.27 3:00pm

  Venue

N602

  Abstract

This talk will address a new link between stochastic dierential equations (SDEs) and nonlinear parabolic PDEs.Starting from the condition of path-independence of Girsanov transform density for the stochastic dierential equations,I will establish the derivation of the new link. Extensions to the case of SDEs on differential manifolds as well as to that of (in nite dimensional) SDEs on separable Hilbert spaces will be discussed. An application to a stochastically deformed dynamical system will be briefly considered.

  Affiliation

 

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