3:00 p.m., Friday (March 11, 2005)
Math Annex 1100
University of Connecticut
Jump processes: some links with analysis and PDE
Abstract: Researchers in mathematical physics, financial mathematics,
and mathematical economics are finding that in many instances models
that incorporate jumps are more realistic than those that do not.
These models lead to some interesting mathematics.
I'll discuss several types of jump processes and some integral
operators that arise. It turns out there are connections with
singular integrals and pseudo-differential operators. I'll also
talk about Harnack inequalities for functions that are harmonic
with respect to these integral operators. Since the operators are
non-local, quite different techniques needed to be developed.
Refreshments will be served at 2:45 p.m. in the Faculty Lounge, Math Annex (Room 1115).