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CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Flows generated by stochastic differential equatio
ns with reflection - Andrey Pilipenko (National Ac
ademy of Sciences of Ukraine)
DTSTART;TZID=Europe/London:20240809T100000
DTEND;TZID=Europe/London:20240809T110000
UID:TALK215677AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/215677
DESCRIPTION:It is well known that SDE with smooth coefficients
generates a flow of diffeomorphisms of Euclidean
space. Consider now a stochastic flow generated by
SDE with reflection at the boundary of the domain
. It appears that properties of reflective flows a
re quite different from the properties of flows ge
nerated by SDEs in the whole space. We will discus
s the following distinctions that arise for any no
n-trivial reflecting flow:\n \;\n(a) reflectiv
e flows are coalescing\;\n \;\n(b) reflective
flows are not continuously differentiable\, but ha
ve a Sobolev derivative\, which satisfies a non-st
andard stochastic differential equation\;\n \;
\n(c) push-forward of an absolute continuous measu
re under reflective flows contains non-trivial sin
gular component.
LOCATION:External
CONTACT:
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