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Mathematical Finance and Probability Seminars

The Parametrix method for skew diffusions

Tuesday, April 18, 2017 at 11:45am - 12:45pm

Jie Zhong, University of Rochester

 Jie Zhong, University of Rochester:  In this talk, we introduce the parametrix method and study the existence and the regularity properties of the density of a skew diffusion and provide a Gaussian upper bound. This expansion leads to a probabilistic representation. 
Location   Hill 705

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Mathematical Finance Master's Program

Department of Mathematics, Hill 348
Hill Center for Mathematical Sciences
Rutgers, The State University of New Jersey
110 Frelinghuysen Road
Piscataway, NJ 08854-8019

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