Thursday, March 4, 2010

Riccati rules

Ken Kim spoke about stability of Riccati equations on the visitors seminar series this week. This is truly beautiful stuff relating dynamical systems concepts like equilibrium points and stable manifolds to probabilistic properties of the corresponding affine diffusion.

Interestingly enough, Tom Hurd was asking me just the other week if I knew of anybody looking at stability of large dimensional systems of Riccati equations, since they arise naturally in his new model for systemic risk. Thought their motivations are different, I'm sure Tom and Ken will have lots to talk about until the end of the thematic program. 

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