Carissim*,
ricordiamo i prossimi seminari online promossi dal Gruppo UMI-PRISMA:
Lunedi’ 10 gennaio 2022
ore 16:00 Andrea Pascucci
TITLE: Kolmogorov equations: old and new results
ABSTRACT: In this talk I present a survey of results about linear and nonlinear equations of Kolmogorov type arising in physics and in mathematical finance. These equations typically satisfy a parabolic Hormander condition and induce rich intrinsic geometric structures. Results about the existence and regularity of solutions are presented. Recent applications to stochastic filtering are also discussed.
ore 17:00 Elena Issoglio
TITLE: McKean SDEs with singular coefficients
ABSTRACT: In this talk we consider a class of SDEs with drift depending on the law density of the solution, known as McKean SDEs. The novelty here is that the drift is singular in the sense that it is `multiplied' by a generalised function (element of a negative fractional Sobolev space). Those equations are interpreted in the sense of a suitable singular martingale problem, thus a key tool is the study of the corresponding singular Fokker-Planck equation. We define the notion of solution to the singular McKean equation and show its existence and uniqueness. This is based on a joint work with F. Russo (ENSTA).
Collegamento Teams:
https://teams.microsoft.com/l/meetup-join/19%3ad685b25ed15f4821ac5168e63cf98...
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Grazie per l’attenzione,
Claudia Ceci e Domenico Marinucci