Minicourse: Reflected Stochastic Differential Equations, Part 1

Andrey Pilipenko (Institute of Mathematics of Ukrainian National Academy of Sciences) gives a minicourse with the title: Reflected Stochastic Differential Equations.

The aim of the mini-course is a short introduction to diffusion processes on a domain with a refle​cting boundary. We discuss the following topics: theorems on existence and uniqueness for solutions to stochastic differential equations with reflection, continuity of solutions with respect to coefficients and initial data, approximation theorems, Markov property and properties of the corresponding semigroups, relation with PDEs and the queuing theory, etc.

Published May 23, 2017 6:18 PM - Last modified May 23, 2017 6:18 PM