Statistics and Data Science Seminar
Cheng Ouyang
UIC
Concentration property and Log-Sobolev inequality for SDE's driven by fractional Brownian motions
Abstract: Stochastic differential equations (SDE) driven by various random
processes are important subject in both probability theory and applications, as
they provide mathematical models for systems that evolve under random forces.
Among them, study of SDE's driven by fractional Brownian motions is an active
area in current research. In the talk, I will first give a brief introduction
to this topic, and then present two resent results - namely, the concentration
property and Log-Sobolev inequality - on the law of solutions to SDE's driven
by fractional Brownian motions.
Wednesday September 14, 2011 at 4:00 PM in SEO 636