RPDEs, Feynman-Kac formulas and the lift of Brownian motion

speaker: Harald Oberhauser (Oxford University)

abstract: SPDEs with affine linear noise show up in many applications. Over the last few years, much progress has been made to provide a rough pathwise well-posedness of such SPDEs, so-called RPDEs. I will speak about recent work that revisits classic results from probability theory from this perspective and show that this, combined with some simple tricks, can lead to intuitive, short proofs as well as extensions of previous results. The key role is played by a rough differential equation that is driven by a Brownian motion and a rough path. (Joint work with Crisan,Diehl,Friz,Riedel,...).

timetable:
Wed 24 Sep, 11:30 - 12:30, Aula Dini
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