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홈 > 학술정보 >학술행사 > 세미나
KAIST 수리과학과 세미나

Title
[확률론] Existence and uniqueness results for Ito-SDEs with locally integrable drifts and Sobolev diffusion coefficients
Speaker
Gerald Trutnau   (Seoul National Univ. )
Date
2018-01-22 16:00:00
Host
KAIST
Place
(E2) Room 3221
Abstract
Using elliptic regularity results, we construct for every starting point, weak solutions to SDEs in R^d with Sobolev diffusion and locally integrable drift coefficient up to their explosion times. Subsequently, we develop non-explosion criteria which allow for linear growth, singularities of the drift coefficient inside an arbitrarily large compact set, and an interplay between the drift and the diffusion coefficient. Moreover, we show strict irreducibility of the solution, which by construction is a strong Markov process with continuous sample paths on the one-point compactification of R^d. Joint work with Haesung Lee.
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