Probabilistic methods in dynamics
timetable:
Mon 29 May, 11:00 - 11:50, Aula Dini
<< Go back
Rare events and hitting time distribution for discrete time samplings of stochastic differential equations
speaker: Stefano Galatolo (Università di Pisa)abstract: We consider a random discrete time system in which the evolution of a stochastic differential equation is sampled at a sequence of discrete times. We set up a functional analityc framework for which we can prove spectral gap and estimate the behavior of the leading eigenvalue of the related transfer operator as the system is perturbed by putting a "hole" in it corresponding to a rare event. By this we derive the distribution of hitting times law corresponding to the rare event and the extreme value theory associated to it."
timetable:
Mon 29 May, 11:00 - 11:50, Aula Dini
<< Go back