Event Detail

Event Type: 
Department Colloquium
Monday, May 13, 2019 - 16:00 to 16:50
KIDD 350

Speaker Info

University of Washington

In this talk,  I will present some extensions to the strong uniqueness of  the stochastic differential equation in Rd : dXt=b(t, Xt)dt+σ(t, X{t-})dZt, X0=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.