随机研究中心学术报告

题  目:  Strong pathwise approximation to SDEs driven by Levy processes and stochastic Dini's theorem

报告人：Jan Rosinski (University of Tennessee, USA) 

邀请人：何辉

时间和地点：6月1号 16:00-17:00 后主楼1129

摘   要：We consider the Ito map, which is a solution to an ODE with a rough path input. Continuity of the Ito map usually requires strong, non separable, Banach space norms on path spaces. We establish stochastic versions of Dini’s theorem for such path spaces. A stochastic version of Dini’s theorem implies that series expansions of Levy processes  converge pathwise in certain Wiener subclasses for which the Ito map is continuous. This yields an explicit strong pathwise approximation of solutions to SDEs driven by Levy processes.  This talk is based on a joint work with Andreas Basse-O'Connor and Jorgen Hoffmann-Jorgensen.