Concentration of measure for stochastic partial differential equations, Andrey Sarantsev (UCSB)

Event Date: 

Wednesday, April 11, 2018 - 3:30pm

Event Date Details: 

Refreshments at 3:15 pm.

Event Location: 

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

Speaker

Andrey Sarantsev (UCSB, PSTAT)

Title

Concentration of measure for stochastic partial differential equations

Abstract

We derive Talagrand concentration inequality for the distribution of the solution of a stochastic partial differential equation by comparing Wasserstein distance with relative entropy. We continue work by Pal (2012) for stochastic ordinary differential equations. Joint work with Davar Khoshnevisan.