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.