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UNIVERSITAT MANNHEIM Fakultat fur Mathematik und Informatik
 

Summary: UNIVERSIT¨AT MANNHEIM
Fakult¨at f¨ur Mathematik und Informatik
Dr. Markus Riedle
Im Rahmen des Seminars
Stochastische
Differentialgleichungen
spricht
Dr. John Appleby
(Dublin City University)
zu dem Thema
Asymptotic behaviour of diffusion processes
"close" to Brownian motion
Zeit: Donnerstag, 22. M¨arz, 2007, 16.00 Uhr
Ort: A1.01 in B6
Abstract: The talk focusses on the pathwise asymptotic growth rates and growth
rates of partial maxima of solutions of stochastic differential equations of It^o type,
in which the drift and diffusion terms have a comparable impact on the solution.
The results are of interest in determining the critical size of perturbations that can
be experienced by a standard Brownian motion which enable it to retain the asym-
ptotic behaviour of its largest fluctuations, while losing the property of possessing

  

Source: Applebaum, David - Department of Probability and Statistics, University of Sheffield

 

Collections: Mathematics