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Probabilistic interpretation for solutions of fully nonlinear SPDEs
时间  Datetime
2018-03-13 16:00 — 17:00 
地点  Venue
Middle Lecture Room
报告人  Speaker
Prof.Anis Matoussi
单位  Affiliation
University du Maine, Le Mans, France
邀请人  Host
林一青
报告摘要  Abstract

We propose a wellposedness theory for a class of second order backward doubly stochastic differential equation (2BDSDE). We prove existence and uniqueness of the solution under a Lipschitz type assumption on the generator, and we investigate the links between the 2BDSDEs and a class of parabolic fully nonlinear Stochastic PDEs. Precisely, we show that the Markovian solution of 2BDSDEs provide a probabilistic interpretation of the classical and stochastic viscosity solution of fully nonlinear SPDEs. The talk is based on a joint work with Dylan Possamai (Columbia University) and Wissal Sabbagh (University of Evry-Paris-Saclay).