Sooppawat Thipyarat - Homogenization of the skew Brownian motion

July 5, 2021 at 12:15 p.m.

Abstract

With the help of the functional central limit theorem, a Brownian motion can be constructed as a limit of symmetric random walks. We modify these random walks in such a way that they are asymmetric at 0. The new random walks converge to a process called a skew Brownian motion. In this talk, we study a family of multi-skew Brownian motions and employ the homogenization technique to prove their convergence to a diffusion.

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