Objective
Research objectives and content
This research project aims at deriving existence and uniqueness conditions for solutions to anticipating stochastic differential equations. Furthermore Markov properties of the solutions will be examined. Basically two methods will be used: the theory of enlargement of filtrations and spatial transformations. A tool for describing such transformations will be the approach of Russo and Vallois to stochastic integration.
Training content (objective, benefit and expected impact)
The research project is strongly based on the pathwise point of view of stochastic integration. This is a central feature in the approach of F. Russo (Paris XIII) and P.Vallois to stochastic calculus. Benefit is also expected from the cooperation with scientists of the university Paris XIII working on relevant fields such as Wiener analysis, infinite dimensional stochastic differential equations and Besov spaces.
Links with industry / industrial relevance (22)
Anticipating stochastic differential equations are likely to have some impact on the investigation of financial markets. F. Russo has regular contacts with banks.
Fields of science (EuroSciVoc)
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
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Programme(s)
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Topic(s)
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Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Call for proposal
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Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
Funding Scheme
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Coordinator
93430 VILLETANEUSE
France
The total costs incurred by this organisation to participate in the project, including direct and indirect costs. This amount is a subset of the overall project budget.