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Title (deu)
Analyzing classes of SPDEs via RSDEs
Speaker / Lecturer
Peter K. Friz
TU Berlin
Description (deu)
Several SPDEs arise from SDE dynamics under partial conditioning of the noise. My talk will circulate on three concrete examples, the Zakai equation from non-linear filtering, the pathwise control problem suggested by Lions-Sougandis, and last not least a rough PDE approach to pricing in non-Markovian stochastic volatility models. Underlying all these examples is the notion of rough stochastic differential equations, recently introduced (jointly with K. Lê and A. Hocquet).
Keywords (deu)
Stochastic partial differential equations
Subject (eng)
ÖFOS 2012 -- 101 -- Mathematics
Type (eng)
lecture
Language
English [eng]
Persistent identifier
https://phaidra.univie.ac.at/o:2064222
Project
Title (deu)
Stochastic Partial Differential Equations
Project description (eng)
Workshop
Start date
2024-02-12
End date
2024-02-16
Project homepage
https://www.esi.ac.at/events/e507/
Date created
2024-02-16
Place of creation (eng)
ESI
Duration
44 minutes 27 seconds
Association (eng)
Research Platform Erwin Schrödinger International Institute for Mathematical Physics (ESI)
License
All rights reserved