Date/heure
27 février 2020
09:15 - 10:15
Oratrice ou orateur
Leonardo VIDELA
Catégorie d'évènement Groupe de travail Probabilités et Statistique
Résumé
We introduce Evolving Systems of Stochastic Differential Equations.
This model generalises the well-known stochastic differential equations
with markovian switching, enabling the countably-many local
systems to have solutions in regime-dependent dimension. We provide
two constructions, the first one based upon general results on measure-valued
processes, and the second one partially inspired by recent developments
of the theory of concatenation of right processes. We prove the Feller
property under very mild assumptions and discuss ongoing research