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Verifying positivity in stochastic models that include diffusion, transport and interaction terms

Seminário do GFM
IIIUL, B2-01
2011-01-07 15:00 .. 16:00
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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.

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