主题: Characterising path-independence of Girsanov transform for stochastic differential equations主讲人: Prof. Jianglun Wu地点: 松江校区2号学院楼331理学院报告厅时间: 2017-01-12 10:00:00组织单位: 理学院数学系
报告人简介：Prof. Jianglun Wu,Swansea University,UK.
报告摘要：This talk will address a new link from stochastic differential equations (SDEs) to nonlinear parabolic PDEs. Starting from the necessary and sufficient condition of the path-independence of the density of Girsanov transform for SDEs, we derive characterisation by nonlinear parabolic equations of Burgers-KPZ type. Extensions to the case of SDEs on differential manifolds and the case od SDEs with jumps as well as to that of (infinite dimensional) SDEs on separable Hilbert spaces will be discussed. A perspective to stochastically deformed dynamical systems will be briefly considered.
报告主持：闫理坦
报告语言：英语