Stochastic differential equations representing anomalous diffusions

When
Start: 05/05/2017 - 1:00pm
End  : 05/05/2017 - 2:00pm

Category
Applied Math Seminar

Speaker
Kei Kobayashi (Fordham University)

Abstract

Brownian motion has been employed to model a number of random time-dependent quantities observed in many different research areas. However, this classical model has several drawbacks; one notable shortcoming is that it does not allow the quantities to be constant over any time interval of positive length. One way to describe such constant periods is to introduce a random time change given by the so-called inverse stable subordinator. The Brownian motion composed with this specific time change is significantly different from the classical Brownian motion; for example, it is non-Markovian and has transition probability densities satisfying a time-fractional order heat equation.

Where
CGU Math South

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