Honors Oral Exam

Uniqueness of a three dimensional stochastic differential equation.

Giang Truong (University of Rochester)

Wednesday, April 14th, 2021
2:30 PM - 3:30 PM
ZOOM ID 98628927517

In order to extend the study of uniqueness property of multi-dimensional systems of stochastic differential equations, in this paper, we look at the following three-dimensional system of equations, of which the two-dimensional case was well-studied before: \(dX_t=Y_tdt\quad, dY_t=Z_tdt,\quad dZ_t=|X_t|^{\alpha}dB_t\). We proved that if \((X_0,Y_0,Z_0)\neq(0,0,0)\), and \(\frac{3}{4}<\alpha<1\), then the system of equations has a unique solution in the strong sense.

Event contact: jonathan dot pakianathan at rochester dot edu