Faculty in Mathematical Finance
Math Finance Home
Conferences
Seminars
People
Open Positions
Contact |
Probability and Computational Finance Seminar
Zsolt Pajor-Gyulai University of Maryland Title: From averaging to homogenization in cellular flows - an exact description of the transition Abstract: We consider a two-parameter averaging-homogenization type elliptic problem together with the stochastic representation of the solution. A limit theorem is derived for the corresponding diffusion process and a precise description of the two-parameter limit behavior for the solution of the PDE is obtained. Joint work with M. Hairer and L. Koralov. Date: Monday, January 26, 2015 Time: 4:30 pm Location: Wean Hall 6423 Submitted by: Shreve |