Séminaire des Doctorants et Doctorantes

Perturbed test functions method for scaling limits in SDEs

par Shmuel Rakotonirina

Europe/Paris
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Description

In experimental science, the model is greatly influenced by the scale at which one works. One has thus to make sure that the models are consistent with the change of scale. In some cases, taking the limit can be tricky, and an hunch can be misleading. In this talk, I will present a Stochastic Differential Equation (SDE) depending on a scaling parameter epsilon, and the perturbed test functions method which allows us to rigourously recover the limit when epsilon tends to 0.