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发表时间:2020-07-29 阅读次数:194次
报告题目: Bismut Formula for Lions Derivative of Distribution-Path Dependent SDEs
报 告 人:鲍建海 教授
报告人所在单位:天津大学
报告日期:2020-07-29 星期三
报告时间:14:30-15:30
报告地点:腾讯会议ID: 459 632 834
  
报告摘要:

      To characterize the regularity of distribution-path dependent SDEs in initial distributions variable as probability measures on the path space, we introduce the intrinsic and Lions derivatives in the space of probability measures on Banach spaces, and prove the chain rule for the Lions derivative in the distribution of Banach-valued random variables. By using Malliavin calculus, we establish the Bismut type formula for the Lions derivatives of functional solutions to SDEs with distribution-path dependent drifts. When the noise term is also path dependent so that the Bismut formula is invalid, we establish the asymptotic Bismut formula. Both nondegenerate and degenerate noises are considered. The main results of this talk generalize and improve the corresponding ones derived recently in the literature for the classical SDEs with memory and McKean-Vlasov SDEs without memory.

 

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本年度学院报告总序号:111

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