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
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