Cheng Ouyang : Concentration property and Log-Sobolev inequality for SDE's driven by fractional Brownian motions

Posted by Jie Yang , part of the Statistics and Data Science Seminar.

At

Sept. 14, 2011, 4 p.m.

In

SEO 636

Abstract

Stochastic differential equations (SDE) driven by various random processes are important subject in both probability theory and applications, as they provide mathematical models for systems that evolve under random forces. Among them, study of SDE's driven by fractional Brownian motions is an active area in current research. In the talk, I will first give a brief introduction to this topic, and then present two resent results - namely, the concentration property and Log-Sobolev inequality - on the law of solutions to SDE's driven by fractional Brownian motions.