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Matija Vidmar: A nonclassical solution to a classical SDE and a converse to Kolmogorov's zero-one law

Date: 2. 3. 2020
Source: Seminar for probability, statistics, and financial mathematics
Četrtek, 5. marca 2020, ob 14:15 v predavalnici 3.06 na FMF, Jadranska 21, Ljubljana.

V četrtek, 5. marca, ob 14:15 bo v predavalnici 3.06 Fakultete za matematiko in fiziko Univerze v Ljubljani na Jadranski ulici 21 v Ljubljani potekalo predavanje Matije Vidmarja z naslovom A nonclassical solution to a classical SDE and a converse to Kolmogorov's zero-one law.

Povzetek: For a (the simplest) discrete-negative-time discrete-space stochastic differential equation, which admits no strong solution in the classical sense, a weak solution is constructed that is a (necessarily nonmeasurable) non-anticipative function of the driving i.i.d. noise. En route one - quite literally - stumbles upon a converse to the celebrated Kolmogorov's zero-one law for sequences with independent values.