Minicourse "Stochastic partial differential equations"

Lecturer: Stefan Tappe (ETH Zurich).

 

Abstract:

 

By means of an original approach, called "method of the moving frame", we establish existence, uniqueness and stability results for mild and weak solutions of stochastic partial differential equations (SPDEs) driven by an infinite dimensional Wiener process and a compensated Poisson random measure. Our approach is based on a time-dependent coordinate transform, which reduces a wide class of SPDEs to a class of simpler SDE problems.

 

As an appliction, we will treat the HJMM term structure equation from interest rate theory and explore some properties of this equation, for example, we shall characterize positivity preserving models and the existence of finite dimensional realizations.

 

Location: HU Berlin, Rudower Chaussee 25, Adlershof

• 31.05. 15.00 - 16.30, room 1.012,
• 01.06. 13.00 - 14.30, room 1.114,
• 02.06. 13.00 - 14.30, room 2.009.