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Seminar
Department of Systems Engineering and Engineering Management
The Chinese University
of Hong Kong
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Title
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Malliavin Calculus for a sde with non-smooth
drift
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Speaker
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Prof. Artuto Kohatsu-Higa
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Osaka University |
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Date
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Dec.28th, 2010 (Tuesday)
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Time
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4:30 p.m. - 5:30 p.m.
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Venue
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Room 513
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William M.W. Mong Engineering
Building
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(Engineering Building Complex Phase 2)
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CUHK
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Abstract:
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In this talk we
will discuss how to use the approach of Malliavin
in order to obtain smoothness of densities for a certain type of
multi-dimensional stochastic differential equations with non-smooth drift. We
will explain the basic trick in order to be able to use the proposed
technique. We will not assume any previous acquaintance with the theory of Malliavin Calculus. This is joint work with Akihiro
Tanaka.
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Biography:
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Prof. Arturo Kohatsu-Higa,
obtained his M.S. degree in the Department of Mathematics at Osaka University
in 1989 and his Ph-D in the Department of Statistics at Purdue University
under the direction of Philip Protter in 1992. Now
he is an Associate Professor in the Graduate School of Engineering Sciences
at Osaka University. His research interests
include stochastic analysis, numerical analysis in stochastic differential
equations and Malliavin calculus.
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************************* ALL ARE WELCOME ************************
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