Academy of Mathematics and Systems Science, CAS Colloquia & Seminars
Prof. Jan Rosinski, University of Tennessee, USA
Strong pathwise approximation to SDEs driven by Levy processes and stochastic Dini's theorem
Time & Venue:
2018.5.31 16:00-17:00 N613
We consider the Ito map, which is a solution to an ODE with a rough path input. Continuity of the Ito map usually requires strong, non separable, Banach space norms on path spaces. We establish stochastic versions of Dini’s theorem for such path spaces. A stochastic version of Dini’s theorem implies that series expansions of Levy processes converge pathwise in certain Wiener subclasses for which the Ito map is continuous. This yields an explicit strong pathwise approximation of solutions to SDEs driven by Levy processes. This talk is based on a joint work with Andreas Basse-O'Connor and Jorgen Hoffmann-Jorgensen.
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