Wednesday, April 12, 2023 - 14:15 in V3-201 + Zoom
Sublinear Semigroups associated with Stochastic Processes under Parameter Uncertainty
A talk in the Bielefeld Stochastic Afternoon series by
David Criens
| Abstract: |
In the talk I explain a general framework to define
sublinear semigroups that are related to stochastic processes with
uncertain parameters. The basic idea is to introduce uncertainty to
the pre-generator of a martingale problem. The sublinear semigroup
arises as a worst-case expectation. Further, I discuss the special
class of semi-linear SPDEs with drift and volatility uncertainty and
certain Feller properties of their connected semigroups.
Within the CRC this talk is associated to the project(s): B1 |
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