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Wong-Zakai theorem for Ito's type stochastic differential equations

Giovedý 14 dicembre alle ore 15:15 aula M1.4, edificio Matematica, Dipartimento FIM, Modena

Relatore: dott. Alberto Lanconelli (UniversitÓ di Bari)

Abstract: From a modeling point of view the celebrated Wong-Zakai theorem provides a crucial insight in the theory of stochastic differential equations. It asserts that the solution to certain random differential equations, which can be considered as natural approximations to stochastic differential equations, converges to the solution of the Stratonovich interpretation of the SDE, instead of the more popular Ito's one. The reason for that has to be found in the type of product utilized in the random differential equation to multiply the diffusion coefficient with the smoothed white noise. In this talk we will discuss how to modify the random ordinary differential equation in order to obtain the Ito's interpretation in the limiting SDE.

Ospiti: Prof. Sergio Polidoro.

[Ultimo aggiornamento: 05/12/2017 16:26:28]