Andrew Allan - Rough Stochastic Analysis with Jumps
| Dates: | 13 March 2024 |
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| Times: | 15:00 - 16:00 |
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| What is it: | Seminar |
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| Organiser: | Department of Mathematics |
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Andrew Allan (Durham University) will speak at the Probability seminar.
Rough path theory provides a framework for the study of nonlinear systems driven by highly oscillatory (deterministic) signals. The corresponding analysis is inherently distinct from that of classical stochastic calculus, and neither theory alone can satisfactorily handle hybrid systems driven by both rough and stochastic noise. The introduction of the stochastic sewing lemma (Khoa Lê, 2020) has paved the way for a theory which can efficiently handle such hybrid systems. In this talk, we will discuss how this can be done in a general setting which allows for jump discontinuities in both sources of noise.
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Frank Adams 2, 1.212
Alan Turing Building
Manchester
