SDEs with irregular coefficients By Prof. Arturo Kohatsu (Ritsumeikan University, Japan)

  • Class scheduleWednesday, Mar. 27th, 2014 from 02:00 pm to 03:00 pm
  • Location: Building 1, Room 4214
  • Refreshments: Available @ 01:45 pm 

In this talk we will give some results regarding the existence and regularity of densities for stochastic differential equations (sde's) with irregular coefficients starting with Holder coefficients and then bounded and measurable. If time allows we will also discuss issues related to the simulation schemes for such sde's.
Short bio
Arturo received his bachelor degree from the pucp (pontificia universidad catolica del Peru) in Lima, Peru many years ago. He obtained a master of science in Osaka University, Japan and then a phd degree under Philip Protter at Purdue University. He has held positions in Puerto Rico, Mexico, Spain, France and now in Japan. His main interests are infinite dimension analysis for stochastic differential equations in relation with the analysis of numerical schemes.