Stochastic Differential Equations Driven by Ballistic Super-Diffusive Noise
Event details
| Date | 23.06.2009 |
| Hour | 16:15 |
| Speaker | Prof. Max-Olivier HONGLER |
| Location |
Salle MA A1 12, EPFL- Ecublens
|
| Category | Conferences - Seminars |
We study stochastic differential equations driven by non-Gaussian noise processes exhibiting a ballistic (also called super-diffusive) variance (such as t + b t2, where t is time and b is a constant). Our driving noise source can be viewed as a lumped Markov process involving two oppositely drifted Brownian motions. For such a noise source, one is able to derive explicit results for a wealth of stochastic models ranging from off-equilibrium statistical physics, optimal stochastic control and sequential stochastic optimization. Illustrations of noise-induced spatio-temporal patterns in arrays of coupled phase oscillators and additive noise-induced phase transitions will be explicitly discussed.
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Practical information
- General public
- Free
Contact
- Prof. Robert Dalang