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Principle Seminar of the Department of Probability Theory, Moscow State University
March 29, 2017 16:45, Moscow, MSU, auditorium 12-24
 


Stochastic semi-groups and Levy noise

A. A. Dorogovtsev

Institute of Mathematics, Ukrainian National Academy of Sciences, Kiev

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Abstract: In the talk we investigate the noise generated by the semi-group of the strong random operators in the Hilbert space. The sufficient conditions under which the semi-group is a multiplicative functional from Levy noise are presented. In certain cases we give the representation of the multiplicative functional as series of multiple stochastic integrals. The partial case of such representation is the well-known Krylov-Veretennikov representation for the function from the solution to stochastic differential equation.

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