Seminar
| Parent Program: | -- |
|---|---|
| Location: | SLMath: Baker Board Room |
Keywords and Mathematics Subject Classification (MSC)
Primary Mathematics Subject Classification
No Primary AMS MSC
Secondary Mathematics Subject Classification
No Secondary AMS MSC
We construct explicitly computable approximations to the Green's function of certain second-order parabolic equations, using Dyson series, Taylor expansions and exact commutator formulas. These approximations are accurate to arbitrary order in the short-time limit, and can be extended to large time by combining with numerical bootstrapping. The method applies also to certain kinds of degenerate equations, such as Fokker-Planck equations arising in pricing of contingent claims. A main motivation for this work is parameter estimation via Bayesian inference.
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