[Forum SIS] UNIBO Statistics Seminars

[Silvia Cagnone]

We are glad to announce the following Statistics Seminar:


Thursday, February 28, 4.00 pm

Seminar room, via delle Belle Arti 41, Bologna


             Paolo Pigato  (Weierstrass Institute for Applied Analysis and Stochastics, Berlino)


Density and tube estimates for diffusion processes under Hormander-type conditions


Abstract

We recall some classic results on the regularity of solutions of stochastic differential equations. Then we consider two specific diffusion processes satisfying hypoellipticity conditions of Hormander type. Using Malliavin Calculus techniques recently developed to deal with degenerate problems, we find estimates for the density of the law of the solution, which we use to prove exponential bounds for the probability that the diffusion remains in a small tube, around a deterministic path, up to a given time. We then present some work in progress on asymptotic sharp estimates for the density and its derivatives for a similar, higher dimensional system.



Contact person: Alberto Lanconelli


The schedule of the statistics seminars are available at http://www.stat.unibo.it/it/dipartimento/seminari-di-statistica-2019

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