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Probability and Computational Finance Seminar
Leonid Koralov
University of Maryland
Title: Averaging and Large Deviation Results for the Study of Randomly Perturbed Dynamical Systems

Abstract: In the first part of the talk, we describe how large-deviation techniques can be used to study the asymptotic behavior of solutions to quasi-linear parabolic equations with a small parameter at the second order term and the long time behavior of the corresponding diffusion processes.

In the second part of the talk, we discuss deterministic and stochastic perturbations of incompressible flows. Even in the case of purely deterministic perturbations, the long-time behavior of such systems can be stochastic, in a certain sense. The stochasticity is caused by the instabilities near the saddle points of the non-perturbed system as well as by the ergodic components of the flow.

Date: Monday, November 30, 2015
Time: 4:30 pm
Location: Wean Hall 8220
Submitted by:  Steve Shreve