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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