Torstein Nilssen: Malliavin differentiability for a class of SDE's in Hilbert spaces.
Torstein Nilssen (Universitetet i Oslo) holder et seminar med tittelen: Malliavin differentiability for a class of SDE's in Hilbert spaces.
In this talk I will consider a Hilbert space valued SDE where the drift is not Lipschitz continuous. In this case, existence and/or uniqueness of a solution is not straightforward. I will introduce a Kolmogorov equation to rewrite the SDE and use Malliavin calculus to construct a unique solution.
The talk is based on a joint work with Franco Flandoli and Frank Proske.