Verifying positivity in stochastic models that include diffusion, transport and interaction terms
GFM seminar
IIIUL, B2-01
2011-01-07 15:00
2011-01-07 16:00
2011-01-07
15:00
..
16:00
By Jacky Cresson (Laboratoire de Mathématiques Appliquées de Pau, France)
We derive necessary and sufficient conditions for preserving the positive cone for a class of semi-linear parabolic systems of stochastic partial differential equations. These conditions are valid for both Itô's and Stratonovich's interpretation of stochastic differential equations.