[grads] [Sem-coll] Stochastics and Computation Seminar Feb 12 at 11am

[J. Duan]

Stochastics and Computation Seminar Feb 12 , Tuesday
at 11am in E1, Room 129

Title: Large deviations for stochastic systems driven by non-Gaussian Levy
noise

Prof. Zhihui YANG
Western Illinois University

Abstract:  In 2004, Dr. Peter Imkeller and Dr. Ilya Pavlyukevich studied the
exit problem of solutions of the stochastic differential equation  from
bounded or unbounded intervals which contain the unique asymptotic stable
critical point of the deterministic dynamical system   The process L is
composed of a standard Brownian motion and a symmetric  -stable Levy
process. A pure probability method was used in the proofs. However, same
results can be obtained using large deviation theory. The talk will discuss
the large deviation principle for the family of processes  and how to use
large deviation theory to describe exit problem for the processes .  The
talk will also talk about other possible applications of large deviation
principle for Levy processes. 

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