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Dear Colleagues,

Analysis and Probability Seminar
Existence and regularity of local time for SDEs driven by fractional Brownian motions
Cheng Ouyang (UIC)
Friday, October 28, 2016 1:30 pm
MONT 414
We study the existence and (Holder) regularity of local time for SDEs driven by fractional Brownian motions, in particular, the regularity in the time variable. The difficulty comes from the fact that the underlying process is non-Gaussian and non-Markovian. Hence many known technics can not be directly applied. We obtain our result by a sharp estimate for the joint density of finite dimensional distributions of the underlying process. The talk is based on a joint work with Shuwen Lou.