WORKSHOP in TORINO on
"SDEs with Low-regularity Coefficients:
Theory and Numerics" 

Department of  Mathematics "Giuseppe Peano",
University of Torino

21-22 September 2023

Organised by Elena Issoglio (UniTo)

AIMS AND OBJECTIVES:

The objective of the meeting is to exchange ideas and recent results in 'singular stochastic analysis'. 

In particular we study Stochastic Differential Equations with coefficients of low regularity. Such coefficients may be functions or (reasonably well-behaved) distributions. The driving noises can be Gaussian or non-Gaussian (e.g. fractional Brownian motion, Levy process, etc...) and the type of SDE may be a standard forward diffusion, a backward SDE or even a McKean-type SDE. 

These singular SDEs can be investigated from a theoretical perspective, hence answering fundamental questions such as existence, uniqueness & regularity of the solution, long time behaviour and other features of the solutions. They can also be addressed from a numerical approximation perspective, hence designing numerical schemes and proving their convergence and relative rate of convergence. 

INFORMATION:

The workshop will take place in the Maths Department of the University of Torino, on Thursday 21 Sept and Friday 22 Sept 2023. 

A tentative program and info for registration can be found here.
Registration is free but mandatory for organizational purposes.