Stochastic integration with respect to Lévy colored noise, with applications to SPDEs

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Event details

Date 01.04.2014
Hour 16:15
Speaker Prof. Raluca Balan
Location
EPFL MA A1 12
Category Conferences - Seminars
The purpose of this talk is to introduce a new type of noise
for problems in stochastic analysis, which behaves in time like a
finite-variance Lévy process without a Gaussian component. In the
space variable, the noise is a stationary random distribution (in the
sense introduced in Itô, 1954), whose covariance is a non-negative
definite distribution, which can be viewed as the Fourier
transform of a tempered measure.
As an application of this theory, we consider the linear stochastic
wave (or heat) equation with this noise.

For more details, see:

http://mathaa.epfl.ch/prob/seminaires/Balan/index.html

Practical information

  • Expert
  • Free

Organizer

  • Prof. Robert C. Dalang

Contact

  • robert.dalang@epfl.ch

Tags

Stochastic integration Lêvy colored noise SPDEs

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