[Forum SIS] UNIBO Statistics Seminars

[Silvia Cagnone]

We are glad to announce the following  Statistics Seminar:


Wednesday, January 24, 2.30 pm

Seminar Room, via delle Belle Arti 41, Bologna


                    Alberto Lanconelli (Università degli studi di Bari)


On Wong - Zakai approximation theorems for Ito stochastic differential equations

Abstract:

>From a modeling point of view the celebrated Wong-Zakai theorem provides a crucial insight in the theory of stochastic differential equations. It asserts that the solution to certain random differential equations, which can be considered as natural approximations to stochastic differential equations, converges to the solution of the Stratonovich interpretation of the SDE, instead of the more popular Ito's one. The reason for that has to be found in the type of product utilized in the random differential equation to multiply the diffusion coefficient with the smooothed white noise. In this talk we will suggest how the aformentioned random differential equation can be modified in order to obtain the Ito interpretation in the limit. This will be done using the notion of Wick product, which is to some extent the adjoint of the Malliavin derivative operator. The issue on the speed of convergence will also be addressed.





Contact person: Enrico Bernardi


The schedule of the statistics seminars are available at  http://www.stat.unibo.it/it/dipartimento/seminari-di-statistica-2018


Silvia Cagnone
Department of Statistical Sciences "Paolo Fortunati"
University of Bologna
Via delle Belle Arti 41 - 40126  Bologna,  ITALY
Tel: +39 051 2098213  Fax: +39 051 232153
http://www2.stat.unibo.it/cagnone/

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