This seminar will be presented in hybrid mode.  The speaker will deliver his talk in person.

Title: Strong solutions for singular SDEs driven by fractional Brownian motion

Abstract: In this talk, we will show the existence of strong solutions to an stochastic differential equation with a generalized drift driven by a multidimensional fractional Brownian motion for small Hurst parameters H<1/2. Here, the generalized drift is given as the local time of the unknown solution process, which can be considered an extension of the concept of a skew Brownian motion to the case of fractional Brownian motion. Our approach for the construction of strong solutions relies on techniques from Malliavin calculus combined with a “local time variational calculus” argument.

The talk will be followed by refreshments in the Huxley Common Room at 4pm. 

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