Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Wednesday, September 30, 2015
Location:  1360 East Hall (4:00 PM to 5:00 PM)

Title:  Pathwise classical and viscosity solutions of fully nonlinear SPDEs

Abstract:   We establish well-posedness (existence, uniqueness, and stability) for a large class of parabolic SPDEs. If the coefficients of the SPDE are sufficiently regular, then our results hold true for classical solutions. In order to deal with less regular data, we present a notion of pathwise viscosity solutions. We operate in the framework of rough path theory. Thus we can study SPDEs in a pathwise manner.

This is crucial for proving our main results since we can then circumvent very difficult problems regarding null sets.

This is joint work with Rainer Buckdahn, Jin Ma, and Jianfeng Zhang.

Files: 3366_Michigan.pdf

Speaker:  Christian Keller
Institution:  UM

Event Organizer:   Erhan Bayraktar


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