Speaker：Cristofol Michel Aix Marseille Univ, CNRS, Centrale Marseille, I2M, Marseille, France
Place：Room 1518, School of Mathematical Sciences
In this talk, I consider a one-dimensional Itoˆ diﬀusion process $X_t$ with possibly nonlinear drift and diﬀusion coeﬃcients. I will show that, when the diﬀusion coeﬃcient is known, the drift coeﬃcient is uniquely determined by an observation of the expectation of the process during a small time interval, and starting from values $X_0$ in a given subset of $. With the same type of observation, and given the drift coeﬃcient, I also show that the diﬀusion coeﬃcient is uniquely determined. When both coeﬃcients are unknown, they are simultaneously uniquely determined by the observation of the expectation and variance of the process, during a small time interval, and starting again from values $X_0$ in a given subset of $.
According to the latest Nature Publishing Index (NPI) Asia-Pacific and The Nature Publishing Index China, University of Science and Technology of China tops in Chinese universities again. The rankings are based on the number of papers that were published in Nature journals during the last 12 months.
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