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Mathematical Sciences Colloquium by Alain Bensoussan
Friday, Sep 23, 2016
2 p.m. - 3 p.m. Location: FN 1.202

Alain Bensoussan

Ashbel Smith Professor

Jindal School of Management

The University of Texas at Dallas

Introduction to Backward stochastic differential equations and parabolic P.D.E. in the whole space

The classical literature in P.D.E. considers mainly boundary value problems with bounded domains, for which the solution is bounded. Stochastic control has introduced a class of stochastic differential equations ( backward)  with  substantial connections  to parabolic P.D.E.   They are most often in the whole space. This raises difficulties when the solution to be considered is not bounded. In this talk we introduce B.S.D.E. ( backward stochastic differential equations)   and review the results which can be obtained.  Considerable work is needed to handle systems of parabolic equations, which come quite naturally in the study of BSDE.

Sponsored by the Department of Mathematical Sciences

Contact Info:
Vishwanath Ramakrishna, 972-883-6873
Questions? Email me.

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