Rough differential equations with interaction
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Mon, 15/06/2009 15:45 |
Dr Tom Cass (Oxford) |
Stochastic Analysis Seminar  |
Oxford-Man Institute |
| We consider the analysis for a class of random differential equations driven by rough noise and with a trajectory that is influenced by its own law. Having described the mathematical setup with great precision, we will illustrate how such equations arise naturally as the limits of a cloud of interacting particles. Finally, we will provide examples to show the ubiquity of such systems across a range of physical and economic phenomena and hint at possible extensions. | |||