Regularisation by noise
Regularisation by noise in the context of stochastic differential equations (SDEs) with coefficients of low regularity, known as singular SDEs, refers to the beneficial effect produced by noise so that the singularity from the coefficients is smoothed out yielding well-behaved equations. This field, initiated by works of Zvonkin and Veretennikov from 70’s, has been extensively explored among different concepts from stochastic calculus. In this talk we will introduce the ideas from classical Itô calculus involving the theory from PDEs and modern tools from rough path theory and Malliavin calculus for tackling the problems on well-posedness theory and numerics.
The talk will be followed by refreshments in the Huxley Common Room at 5pm.