Event Type:

Department Colloquium

Date/Time:

Monday, May 13, 2019 - 16:00 to 16:50

Location:

KIDD 350

Event Link:

Guest Speaker:

Institution:

University of Washington

Abstract:

In this talk, I will present some extensions to the strong uniqueness of the stochastic differential equation in $Rd:\; dX$_{t}=b(t, X_{t})dt+σ(t, X_{{t-}})dZ_{t}, X_{0}=x , where Z is a Lévy process. We show that for a class of Lévy processes Z and Hölder continuous drift b and Lipschitz continuous and uniformly elliptic diffusion σ, the above SDE has a unique strong solution for every starting point x by the Zvonkin's transform.

Host: