Evolution Equations for Deterministic and Stochastic Systems

On Emery's inequality for stochastic integrals and a

speaker: Onno van Gaans (Friedrich Schiller University Jena)

abstract: Existence of solutions of stochastic functional differential equations with Lipschitz coefficients driven by general semimartingales can be proved by means of a reduction to Banach's fixed point theorem. The key inequality needed to obtain a contraction is Emery's inequality for stochastic integrals. A similar approach can be taken to prove that a variation-of-constants formula holds for solutions of equations with linear drift. In this case, however, a more general form of Emery's inequality is needed. Such a more general inequality is presented and applied to prove the variation-of-constants formula

timetable:
Thu 26 May, 16:20 - 17:00, Aula Dini
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