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Probability and Computational Finance Seminar
Yu Gu
Stanford University
Title: Scaling limits of fluctuations in stochastic homogenization

Abstract: Equations with small scales abound in physics and applied science. When the coefficients vary on microscopic scales, the local fluctuations average out under certain assumptions and we have the so-called homogenization phenomenon. In this talk, I will try to explain some probabilistic approaches we use to obtain the first order random fluctuations in stochastic homogenization. If homogenization is to be viewed as a law of large number type result, here we are looking for a central limit theorem. The tools we use include the Kipnis-Varadhan's method, a quantitative martingale central limit theorem and the Stein's method. Based on joint work with Jean-Christophe Mourrat.

Date: Monday, November 14, 2016
Time: 5:00 pm
Location: Wean Hall 8220
Submitted by:  Gautam Iyer