University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Toward a Wong-Zakai approximation for big order generators

Toward a Wong-Zakai approximation for big order generators

Add to your list(s) Download to your calendar using vCal

If you have a question about this talk, please contact nobody.

FDE2 - Fractional differential equations

In this talk, I give an approach of the classical Wong-Zakai approximation for diffusions to some big order generators under Hoermander’s form. This works for commuting vector fields (in such a case this correspond to the exact formula of Doss-Sussman for diffusions) and for a Lie group. This gives a new approximation of the solution of parabolic equations different to the classical parametrix approximation, which gives for diffusion the Euler-Maruyama approximation of an Ito diffusion. Reference: Toward a Wong-Zakai approximation for big order generators. In “Symmetry in ordinary and partial  differential equations and applications” C. Vetro edt. Symmetry. (2020).

This talk is part of the Isaac Newton Institute Seminar Series series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.

 

© 2006-2022 Talks.cam, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity