Si comunica che
il 30 gennaio 2020 alle ore 14.00
presso
l'Aula Riunioni dell'Istituto per le Applicazioni del Calcolo (sede di Roma)
si terrą il seguente seminario:
Relatore:
Professor Alberto Lanconelli (Universita' di Bologna)
Titolo:
Absolute continuity and Fokker-Planck equation for the law of
Wong-Zakai approximations of Ito SDEs
Abstract:
We investigate the regularity of the law of Wong-Zakai-type
approximations for Ito stochastic differential equations. These
approximations solve random differential equations where the
diffusion coefficient is Wick-multiplied by the smoothed white
noise. Using a criterion based on the Malliavin calculus we
establish absolute continuity and a Fokker-Planck-type equation
solved in the distributional sense by the density. The parabolic
smoothing effect typical of the solutions of Ito equations is
lacking in this approximated framework; therefore, in order to
prove absolute continuity, the initial condition of the random
differential
equation needs to possess a density itself.
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