# Difference between revisions of "Probability Seminar"

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== Thursday, February 9, Arnab Sen, Cambridge == | == Thursday, February 9, Arnab Sen, Cambridge == | ||

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+ | == Thursday, February 23, Tom Kurtz, University of Wisconsin - Madison == | ||

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+ | Title: Particle representations for SPDEs and strict positivity of solutions | ||

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+ | Abstract: Stochastic partial differential equations arise naturally as limits of finite systems of interacting particles. For a variety of purposes, it is useful to keep the particles in the limit obtaining an infinite exchangeable system of stochastic differential equations. The corresponding de Finetti measure then gives the solution of the SPDE. These representations frequently simplify existence, uniqueness and convergence results. The support properties of the measure-valued solution can be studied using Girsanov change of measure techniques. The ideas will be illustrated by a model of asset prices set by an infinite system of competing traders. These latter results are joint work with Dan Crisan and Yoonjung Lee. | ||

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speculate on some further connections that can be made with | speculate on some further connections that can be made with | ||

probability. | probability. | ||

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== Wednesday, March 7, Paul Bourgade, Harvard == | == Wednesday, March 7, Paul Bourgade, Harvard == |

## Revision as of 17:30, 27 January 2012

## Spring 2012

Thursdays in 901 Van Vleck Hall at 2:25 PM, unless otherwise noted. If you would like to receive announcements about upcoming seminars, please visit this page to sign up for the email list.

## Thursday, January 26, Timo Seppäläinen, University of Wisconsin - Madison

Title: The exactly solvable log-gamma polymer

Abstract: Among 1+1 dimensional directed lattice polymers, log-gamma distributed weights are a special case that is amenable to various useful exact calculations (an *exactly solvable* case). This talk discusses various aspects of the log-gamma model, in particular an approach to analyzing the model through a geometric or "tropical" version of the Robinson-Schensted-Knuth correspondence.

## Thursday, February 9, Arnab Sen, Cambridge

## Thursday, February 23, Tom Kurtz, University of Wisconsin - Madison

Title: Particle representations for SPDEs and strict positivity of solutions

Abstract: Stochastic partial differential equations arise naturally as limits of finite systems of interacting particles. For a variety of purposes, it is useful to keep the particles in the limit obtaining an infinite exchangeable system of stochastic differential equations. The corresponding de Finetti measure then gives the solution of the SPDE. These representations frequently simplify existence, uniqueness and convergence results. The support properties of the measure-valued solution can be studied using Girsanov change of measure techniques. The ideas will be illustrated by a model of asset prices set by an infinite system of competing traders. These latter results are joint work with Dan Crisan and Yoonjung Lee.

## Wednesday, February 29, Scott Armstrong, University of Wisconsin - Madison

Title: PDE methods for diffusions in random environments

Abstract: I will summarize some recent work with Souganidis on the stochastic homogenization of (viscous) Hamilton-Jacobi equations. The homogenization of (special cases of) these equations can be shown to be equivalent to some well-known results of Sznitman in the 90s on the quenched large deviations of Brownian motion in the presence of Poissonian obstacles. I will explain the PDE point of view and speculate on some further connections that can be made with probability.