Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

Characterization of reflected diffusions and their stationary distributions

Tuesday, May 01, 2012 at 11:00am - 12:00pm

Speaker: Kavita Ramanan, Brown University

Reflected diffusions are stochastic processes that behave like diffusions in the interior of a domain and are constrained, according to a given vector field on the boundary, to lie within the domain. Reflected diffusions in piecewise-smooth domains arise naturally in several contexts, including as approximations to stochastic networks. We will discuss several questions related to these processes, including issues of existence, uniqueness and characterization of their stationary distributions. In particular, we will describe how the geometry of the vector field plays a key role in the analysis.

Speaker: Kavita Ramanan, Brown University

Location   Hill 705