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Probability and Computational Finance Seminar
Camelia Pop
University of Minnesota
Title: Transition probabilities for degenerate diffusions arising in population genetics

Abstract: We provide a detailed description of the structure of the transition probabilities and of the hitting distributions of boundary components of a manifold with corners for a degenerate strong Markov process arising in population genetics. The Markov processes that we study are a generalization of the classical Wright-Fisher process. The main ingredients in our proofs are based on the analysis of the regularity properties of solutions to a forward Kolmogorov equation defined on a compact manifold with corners, which is degenerate in the sense that it is not strictly elliptic and the coefficients of the first order drift term have mild logarithmic singularities. This is based on joint work with Charles Epstein.

Date: Monday, September 26, 2016
Time: 4:30 pm
Location: Wean Hall 8220
Submitted by:  Steve Shreve
Note: Refreshments at 4:00 pm, Wean Hall 6220.