Graduate Student Seminar

Speaker: Dr. Olav Kallenberg

Title: Brownian motion, diffusions, and SDEs
  
Abstract: Brownian motion may be the most important single object studied in probability theory (= the theory of stochastic processes), taught routinely in basic graduate courses in the area. Dropping the space homogeneity leads to more general diffusion processes, described most conveniently as solutions to stochastic differential equations (SDEs). In this talk, I will give an elementary account of some basic ideas, and comment briefly on the history of the subject.