Time-homogeneous Parabolic Anderson Model (PAM) in One Space Dimension
Host
Department of Applied Mathematics
Speaker
Hyun-Jung Kim
Department of Applied Mathematics, Illinois Institute of Technology
https://scholar.google.com/citations?user=dZ48Hz4AAAAJ&hl=en
Description
We consider the parabolic Anderson model driven by multiplicative time-homogeneous Gaussian random potential. The objective of this talk is to introduce new methods to construct a solution and investigate analytic properties of the solution for the model in one space dimension. In particular, the Stratonovich interpretation and the Wick-Ito-Skorokhod interpretation are mainly discussed.
Event Topic
Mathematical Finance, Stochastic Analysis, and Machine Learning