Sponsored by
 
Events
News
 
[ Events ]
 
 

Activity Search
Sort out
Field
 
Year
Seminars  
 
NCTS-Sinica Probability Seminar
 
14:20 - 15:10, April 16, 2019 (Tuesday)
Room 202, Astronomy-Mathematics Building, NTU
(台灣大學天文數學館 202室)
McKean Stochastic Differential Equations and Non-conservative PDEs
Francesco Russo (ENSTA Paris Tech)

Abstract:

A particular class of  stochastic differential equations (SDEs) admit non-linearities in the sesne of McKean. This means that their coefficients do not only depend on time and on the position of the process solution but also on its marginal laws. Often they constitute probabilistic representation of conservative PDEs and can be used for applications to stochastic control. The possibility of approaching them with particle systems provides a Monte-Carlo type approximation of the mentioned conservative PDEs. In this talk we will illustrate how the method can be adapted to the case of a class of non-conservative PDEs. The talk is based on recent work with A. Le Cavil, J. Lieber and N. Oudjane.


 

back to list  
 (C) 2019 National Center for Theoretical Sciences