McKean SDEs with singular coefficients
- Date: Thursday 3 February 2022, 14:00 – 15:00
- Location: Mathematics
- Type: Probability and Financial Mathematics, Seminars, Statistics
- Cost: 0.00
This talk will be given by Elena Issoglio (University of Torino)
In this talk we consider a class of SDEs with drift depending on the law density of the solution, known as McKean SDEs. The novelty here is that the drift is singular in the sense that it is `multiplied' by a generalised function (element of a negative fractional Sobolev space). Those equations are interpreted in the sense of a suitable singular martingale problem, thus a key tool is the study of the corresponding singular Fokker-Planck equation. We define the notion of solution to the singular McKean equation and show its existence and uniqueness. This is based on a joint work with F. Russo (ENSTA).
If you are interested in joining this talk, please contact Dr Konstantinos Dareiotis at email@example.com for the Zoom details.