Backward stochastic differential equations and quasi-liner PDEs
16/12/2009 Wednesday 16th December 2009, 10:00 (Room P3.10, Mathematics Building)
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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.
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