Exit problem driven by alpha-stable process and its PDE characterization

Tuesday, June 12, 2018 - 11:30am - 12:00pm
Lind 305
Qingshuo Song (City University of Hong Kong)
Formally, exit problem with an alpha-stable process is associated with an elliptic PDE with Dirichlet boundary and fractional Laplacian operator. We will investigate sufficient conditions of the exit problem value to be the strong, respectively generalized viscosity solution of its associated Dirichlet problem. Solvability of parabolic PDE can also be answered as a special case of elliptic PDE.