- Series
- Applied and Computational Mathematics Seminar
- Time
- Monday, November 20, 2017 - 2:00pm for 1 hour (actually 50 minutes)
- Location
- Skiles 005
- Speaker
- Yat Tin Chow – Mathematics, UCLA – ytchow@math.ucla.edu
- Organizer
- Prasad Tetali
In this talk, we will introduce a family of stochastic processes on the
Wasserstein space, together with their infinitesimal generators. One of
these processes is modeled after Brownian motion and plays a central
role in our work. Its infinitesimal generator defines a partial
Laplacian on the space of Borel probability measures, taken as a
partial trace of a Hessian. We study the eigenfunction of this partial
Laplacian and develop a theory of Fourier analysis. We also consider
the heat flow generated by this partial Laplacian on the Wasserstein
space, and discuss smoothing effect of this flow for a particular class
of initial conditions. Integration by parts formula, Ito formula and an
analogous Feynman-Kac formula will be discussed.
We note the use of the infinitesimal generators in the theory of Mean
Field Games, and we expect they will play an important role in future
studies of viscosity solutions of PDEs in the Wasserstein space.