evenements:seminaireproba-math-fi
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evenements:seminaireproba-math-fi [2019/09/16 21:47] Arnaud Gloter |
evenements:seminaireproba-math-fi [2019/10/14 08:36] Valérie Picot |
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| **__Exposés de l'année 2019__ :** | **__Exposés de l'année 2019__ :** | ||
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| + | **17 octobre à 14h00 :** <color #088A85> Alexandre Veretennikov</color> (University of Leeds) // On McKean-Vlasov stochastic equations// | ||
| + | ++ Voir résumé | \\Weak existence will be shown for a class of McKean-Vlasov equations. Specifically results will be presented on: (a) existence for bounded Borel coefficients with non-degenerate diffusion (the class of coefficients is a bit wider than the standard linear coefficient dependence of the measure); (b) existence for unbounded Borel coefficients under linear growth given that for bounded ones existence is known; (c) existence for non-symmetric (& still non-degenerate) diffusions. In addition some results on strong existence and on weak and strong uniqueness will be stated. | ||
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| + | **2 octobre à 14h00 :** <color #088A85> Sergio Pulido Nino </color> (ENSIIE/LaMME) // Stochastic Volterra equations// | ||
| + | ++ Voir résumé | \\We obtain general weak existence and stability results for Stochastic Convolution Equations (SVEs) with jumps under mild regularity assumptions, allowing for non-Lipschitz coefficients and singular kernels. The motivation to study SVEs comes from the literature on rough volatility models. Our approach relies on weak convergence in Lp spaces. The main tools are new a priori estimates on Sobolev-Slobodeckij norms of the solution, as well as a novel martingale problem that is equivalent to the original equation. This leads to generic approximation and stability theorems in the spirit of classical martingale problem theory. To illustrate the applicability of our results, we consider scaling limits of nonlinear Hawkes processes and approximations of stochastic Volterra processes by Markovian semimartingales. | ||
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| **26 septembre à 14h00 :** <color #088A85> Andrew Soane </color> (University of Cape Town) // Optimal stopping with an enlarged filtration with an application to the Brownian Bridge// | **26 septembre à 14h00 :** <color #088A85> Andrew Soane </color> (University of Cape Town) // Optimal stopping with an enlarged filtration with an application to the Brownian Bridge// | ||
evenements/seminaireproba-math-fi.txt · Last modified: 2024/03/11 10:20 by Valérie Picot
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