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                                                     Seminar

             Department of Systems Engineering and Engineering Management
                                  The Chinese University of Hong Kong

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Title

:

Malliavin Calculus for a sde with non-smooth drift

 

 

 

Speaker

:

Prof. Artuto Kohatsu-Higa

 

 

Osaka University

 

 

 

 

 

 

Date

:

Dec.28th, 2010 (Tuesday)

 

 

 

Time

:

4:30 p.m. - 5:30 p.m.

 

 

 

Venue

:

Room 513

 

 

William M.W. Mong Engineering Building

 

 

(Engineering Building Complex Phase 2)

 

 

CUHK

 

 

 

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Abstract:
 

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:
 

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.


************************* ALL ARE WELCOME ************************

 

 

 

Host

:

Prof. Nan Chen

Tel

:

(852)2609-8237

Email

:

nchen@se.cuhk.edu.hk

 

 

 

Enquiries

:

Prof. Nan Chen or Prof. Sean X. Zhou

 

:

Department of Systems Engineering and Engineering Management

 

 

CUHK

Website

:

http://www.se.cuhk.edu.hk/~seem5201

Email

:

seem5201@se.cuhk.edu.hk

 

 

 

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