Cari colleghi,

vi annuncio che venerdì 29 Maggio 2015, alle ore 15 precise, presso la sala conferenze dell’IMATI-CNR di Pavia,

Giovanni Zanco (Università di Pisa)

terrà un seminario dal titolo:

INFINITE DIMENSIONAL METHODS FOR PATH-DEPENDENT SDES: KOLMOGOROV EQUATIONS AND ITO FORMULAE

nell'ambito del Seminario di Matematica Applicata (IMATI-CNR e Dipartimento di Matematica, Pavia).

Tutti gli interessati sono invitati a partecipare.

Abstract.

Path-dependent stochastic differential equations are (non-markovian) equations whose coefficients are allowed to depend on the whole trajectory of the solution up to the present time, and are a powerful tool in modeling complex evolution systems with memory that appear in finance, engineering and biology. Even when the state space is finite dimensional, they are intrinsecally infinite dimensional. I will show how path-dependent SDEs can be studied in a product space framework (inspired by the theory for delay equations) using standard differential and topological structures. This framework is helpful to prove existence and uniqueness of classical solutions to path-dependent Kolmogorov-type PDEs on the space of continuous paths, to obtain probabilistic representation formulas for such solutions and moreover to prove Ito-type formulae for functionals of paths of continuous semimartingales, thus providing a counterpart of the functional Ito calculus developed by Dupire, Cont and Fournié. It also provides an insight on the role and the analytical structure of the so-called horizontal derivative, which is a key object in the study of path-dependent equations. The results I will present have been obtained in collaboration with Franco Flandoli (Unipi) and Francesco Russo (Ensta-ParisTech).