Malliavin calculus

Head of the seminar: Prof. A.A.Dorogovtsev

Secretary of the seminar: Ia.Korenovska

E-mail address: yaroslavaka@mail.ru

17.00, room 208.

• Seminar 27.10.2015

  Speaker: V. Kuznetsov

  Title: Large deviations principle. When contraction principle doesn’t work 

• Seminar 20.10.2015

  Speaker: G.V. Riabov

  Title: The Krylov-Veretennikov formula for functionals from the Arratia flow 

• Seminar 13.10.2015

  Speaker: H.J. Engelbert

  Title: Stochastic differential equations for sticky reflecting Brownian motion

• Seminar 06.10.2015

  Speaker: A.Yu.Pilipenko

  Title: On Brownian motion with tight membrane

• Seminar 08.04.2014

  Speaker: M.Vovchanskii

  Title: The Brownian web and Harris web

• Seminar 25.03.2014

  Speaker: G/Shevchenko

  Title: Stochastic differential equations with mixed noise (based on Doctor’s thesis)

  The talk will be devoted to so-called “mixed” stochastic differential equations

  X(t)=X(0)+

  0 ∫ a(s,X(s))ds+ t

  0 ∫ b(s,X(s))dW(s)+ t

  0 ∫ c(s,X(s))dZ(s), t

  where W is a standard Wiener process, Z is an adapted process trajectories of which almost surely satisfy the Holder condition with constant γ>1/2. Results on existence, uniqueness and integrability of the solution of this equation will be discussed. In case when Z=BH is a fractal Brownian motion with Hurst parameter >1/2 also conditions of Malliavin differentiability and existence of the solution’s density will be given.

• Seminar 01.04.2014

  Speaker: V.Kuznetsov

  Title: Mean time of staying in an interval for a distance between particles in a Brownian flow (based on C.L.Zirbel “Mean occupation times of continuous one-dimensional Markov processes”)

• Seminar 18.03.2014

  Speaker: V.Kuznetsov

  Title: Mean time of staying in an interval for a distance between particles in a Brownian flow (based on C.L.Zirbel “Mean occupation times of continuous one-dimensional Markov processes”)

• Seminar 11.03.2014

  Speaker: V.Kuznetsov

  Title: Mean time of staying in an interval for a distance between particles in a Brownian flow (based on C.L.Zirbel “Mean occupation times of continuous one-dimensional Markov processes”)

• Seminar 04.03.2014

  Speaker: A.A.Pohorui

  Title: Fading random evolutions