Probability and Statistics Seminar   RSS

16/12/2009, 10:00 — 11:00 — Room P3.10, Mathematics Building
Gonçalo dos Reis, CMAP- École Polytechnique (Paris)

Backward stochastic differential equations and quasi-liner PDEs

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.