Workshop
SDEs with Low-regularity Coefficients:
Theory and Numerics
WORKSHOP in TORINO on
"SDEs with Low-regularity Coefficients:
Theory and Numerics"
"SDEs with Low-regularity Coefficients:
Theory and Numerics"
Department of Mathematics "Giuseppe Peano",
University of Torino
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.
INVITED SPEAKERS:
Mireille Bossy (Inria - Calisto)
Oleg Butkovsky (Weierstrass Institute Berlin)
Konstantinos Dareiotis (University of Leeds)
Mate Gerencser (TU Wien)
Ludovic Goudenege (CNRS Paris)
Benjamin Jourdain (Ecole des Ponts ParisTech)
Khoa Lê (University of Leeds)*
Chengcheng Ling (TU Wien)
Stephane Menozzi (University of Evry)
Francesco Russo (ENSTA Paris,Institut Polytechnique de Paris)
Michaela Szölgyenyi (University of Klagenfurt)
*cancelled
CONTRIBUTED SPEAKERS:
Luis Mario Chaparro Jaquez (University of Leeds)
Goncalo dos Reis (University of Edinburgh)
Matteo Giordano (Universitá di Torino)
Mathis Fitoussi (Université d'Évry)
Helena Kremp (TU Wien)
Lukasz Mądry (Universite Paris-Dauphine)
Verena Schwarz (University of Klagenfurt)
Jonas Tölle (Aalto University)
Davide Trevisani (Universitade da Coruña and CITIC)
POSTERS:
Samuel Gallaray (ENS Rennes)
Giacomo Lucertini (Universitá di Bologna)
Funded by the Department of Mathematics and the University of Torino.