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