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Title: Dirichlet Processes and Reflected Diffusions
Speaker: Dr. Kavita Ramanan, Carnegie Mellon University
Date: 16 December 2008
Time: 4:00 p.m.
Venue: Lecture Hall - I, Dept. of Mathematics

Reflected diffusions arise in many contexts. We identify a rather general condition under which these diffusions belong to the class of so-called Dirichlet processes, which are a generalization of continuous semimartingales that admit many nice properties, including an Ito formula. We also provide an example arising from applications, in which the reflected diffusion fails to be a semimartingale, but belongs to the class of Dirichlet processes. This is partly based on joint work with Weining Kang.

Contact: +91 (80) 2293 2711, +91 (80) 2293 2265 ;     E-mail: chair.math[at]iisc[dot]ac[dot]in
Last updated: 24 Mar 2023