Seminar series
Date
Mon, 20 Oct 2008
15:45
15:45
Location
Oxford-Man Institute
Speaker
Dr. Michael Caruana
Organisation
Cambridge
In this talk, we present an extension of the theory of rough paths to partial differential equations. This allows a robust approach to stochastic partial differential equations, and in particular we can replace Brownian motion by more general Gaussian and Markovian noise. Support theorems and large deviation statements all become easy corollaries of the corresponding statements of the driving process. This is joint work with Peter Friz in Cambridge.