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Probabilistic Interpretation for a System of Quasilinear Parabolic Partial Differential-Algebraic Equations
时间  Datetime
2019-05-23 16:00 — 17:00 
地点  Venue
536
报告人  Speaker
于志勇
单位  Affiliation
山东大学
邀请人  Host
陈昕
报告摘要  Abstract

In this talk, we study a kind of system of second order quasilinear parabolic partial differential equation combined with algebraic equations. Introducing a family of coupled forward-backward stochastic differential equations, and by virtue of some delicate analysis techniques, we give a probabilistic interpretation for it in the viscosity sense and classical sense