マス・フォア・インダストリ研究所

セミナー



リスト 全て(掲示受付分)(1431) 今日・明日のセミナー(0)

Hypoelliptic SDE with jumps


開催時期 2011-04-15 15:30~2011-04-15 17:00

場所 伊都キャンパス 伊都図書館3階 中セミナー室3

受講対象  

講師 國田 寛(九州大学名誉教授)

講演要旨:
    We study SDE with jumps satisfying 'point-wise'
  nondegenerate condition or 'point-wise' (modified)
  Hormander's condition. We show that solutions of
  these SDE have the hypoelliptic property described
  below. The transition operator of the associated
  jump-diffusion, weighted by a bounded smooth
  function, can be extended from a smooth function
  to a tempered distribution.  The extended function
  is a smooth function  and satisfies Kolmogorov's
  backward equation.  As an application, we show that
  the associated transition probablities have a smooth
  density ans the density is the fundamental solution
  of the asociated generator.
  Our discussion is based on the Malliavin 
  calculus on the Wiener-Poisson space.