Stochastic Analysis & Mathematical Finance Seminars

In this talk, we consider the Cauchy problem for a number of semilinear PDEs, subject to initial data distributed according to a family of Gaussian measures.  

We first discuss how the flow of Hamiltonian equations transports these Gaussian measures. When the transported measure is absolutely continuous with respect to the initial measure, we say that the initial measure is quasi-invariant. 

In the high-dispersion regime, we exploit quasi-invariance to build a (unique) global flow for initial data with negative regularity, in a regime that cannot be replicated by the deterministic (pathwise) theory.  

In the 0-dispersion regime, we discuss the limits of this approach, and exhibit a sharp transition from quasi-invariance to singularity, depending on the regularity of the initial measure. 

We will also discuss how the same techniques can be used in the context of stochastic PDEs, and how they provide information on the invariant measures for their flow. 

This is based on joint works with  J. Coe (University of Edinburgh), J. Forlano (Monash University), and M. Hairer (EPFL).