Stochastic Analysis, Stochastic Partial Differential Equations and Applications to Fluid Dynamics and Particle Systems
timetable:
Tue 4 Apr, 16:30 - 17:10, Aula Dini
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seminar: Stochastic PDEs for Sampling Conditioned Diffusions II
speaker: Jochen Voss (University of Warwick)abstract: In this talk we describe theoretical results related to the Langevin SPDEs described in Part I (see the lecture by AM Stuart). We describe a Banach space valued theory which is sufficiently flexible to deal with nonlinear Neumann boundary conditions and the presence of Dirac mass terms in the interior of the domain; the former arise naturally from sampling conditioned diffusions with starting value in an equilibrium measure, the latter from discrete time observations. We also describe the ergodic properties of the SPDEs. In the case of what we term the preconditioned SPDE, it is necessary to use the theory of asymptotic strong Feller. Joint work with Martin Hairer and Andrew Stuart.
timetable:
Tue 4 Apr, 16:30 - 17:10, Aula Dini
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