Events > Probability and Statistics Seminar

Backward stochastic differential equations and quasi-liner PDEs

16/12/2009 Wednesday 16th December 2009, 10:00 (Room P3.10, Mathematics Building)  More
Gonçalo dos Reis, CMAP- École Polytechnique (Paris)

In the spirit of a forthcoming research project within CEMAT this talk aims at introducing a probabilistic approach to PDE. This probabilistic interpretation for systems of second order quasilinear parabolic PDE is obtained by establishing a kind of backward stochastic differential equation. We look at several aspects of this link.