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 terrà 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.