Frank Norbert Proske (UiO)

Event Date: 

Wednesday, March 9, 2016 -
3:30pm to 5:00pm

Event Date Details: 

Refreshments served at 3:15 p.m.

Event Location: 

  • Sobel Seminar Room; South Hall 5607F
  • Department Seminar Series

Title: Strong Existence and higher order differentiability of stochastic flows of fractional Brownian motion driven SDE's with singular drift

Abstract: In this talk we present a new method for the construction of strong solutions of SDE's with merely integrable drift coefficients driven by a multidimensional fractional Brownian motion with Hurst parameter H < 1/2. Furthermore, we prove the rather surprising result of the higher order Fréchet differentiability of stochastic flows of such SDE's in the case of a small Hurst parameter. In establishing these results we use techniques from Malliavin calculus combined with new ideas based on a "local time variational calculus". We expect that our general approach can be also applied to the study of certain types of stochastic partial differential equations as e.g. stochastic conservation laws driven by rough paths.

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