Wednesday, February 16, 2022 - 14:00 in ZOOM - Video Conference
Analytic and probabilistic aspects of Girsanov and Zvonkin transforms and connections with stationary Fokker-Planck-Kolmogorov equations
A talk in the Bielefeld Stochastic Afternoon series by
Vladimir Bogachev
| Abstract: |
The talk is an introduction to a recent joint work with Michael Röckner and Stas Shaposhnikov
on Zvonkin type transformations in the study of elliptic Fokker-Planck-Kolmogorov equations.
A brief overview will be given of the classical results of Girsanov and Zvonkin aimed at elimination
or some improvement of the drift term of a diffusion process. The analytic side of such transformations will
be discussed. It turns out that an appropriate analytic version of Zvonkin's transform enables us to
obtain new results on existence and uniqueness of probability solutions to stationary Kolmogorov equations
and their local integrability properties. This talk provides necessary background for the subsequent
talk of Stas Shaposhnikov concerned with concrete new results.
Within the CRC this talk is associated to the project(s): A5 |
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