Do, 30.11.2017, 16:15
Path-dependent infinite-dimensional SDE with non-regular drift: an existence result
Oberseminar AG Stochastik

Referent: Prof. David Dereudre (Université Lille1)
Raum: S2|15 Raum 401

We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be neither bounded or continuous, nor Markov. On the initial law we only assume that it admits a finite specific entropy and a finite second moment.
The originality of our method leads in the use of the specific entropy as a tightness tool and in the description of such infinite-dimensional stochastic process as solution of a variational problem on the path space. Our result clearly improves previous ones obtained for free dynamics with bounded drift.



Fachbereich Mathematik
Technische Universität Darmstadt

Schlossgartenstraße 7
64289 Darmstadt

A A A | Print Drucken | Impressum Impressum | Contact Kontakt
    zum Seitenanfangzum Seitenanfang