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Hold your horses, an introduction to the martingale problem

David Clancy
Thursday, April 5, 2018 - 2:30pm to 3:20pm
PDL C-36

Abstract: In this talk we briefly discuss the martingale problem. Knowing the existence of a solution to this problem in closely related to knowing the existence of solutions to a closely related PDE or, in general, a pseudo-differential equation. In order to formalize this, we put a differentiable structure on the space of Borel probability measures and study the integral curves on this space. These integral curves help us solve the martingale problem for a large collection of operators. This talk will hopefully make the connection between probability theory and PDE’s more clear.

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