Analysis Seminar

Title: Concentration property, Sobolev inequality and Gaussian upper bound for SDEs driven by fractional Brownian motions
Speaker: Ouyang Cheng
Speaker Info: University of Illinois at Chicago
Brief Description:
Special Note:

Concentration property and Log-Sobolev inequalities for stochastic differential equations (SDE) are usually discussed under a Markovian setting for the underlying semi-group of the system. In this talk, we present some results on this direction for some SDEs driven by fractional Brownian motions, which are know not to be Markovian systems. In particular, based on our concentration property, we derive a global Gaussian upper bound for the density function of solution to such SDEs.
Date: Monday, March 05, 2012
Time: 4:10pm
Where: Lunt 105
Contact Person: Prof. Jared Wunsch
Contact email: jwunsch@math.northwestern.edu
Contact Phone: 847-491-5580
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