报告题目:Probabilistic Interpretation for a System of Quasilinear Parabolic Partial Differential-Algebraic Equations
报 告 人:于志勇 教授,山东大学
报告时间:2019年10月14日 9:00-10:00
报告地点:数学楼一楼第二报告厅
报告摘要:
In this talk, we study a kind of system of second order quasilinear parabolic partial differential equations combined with algebraic equations. By 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 in the classical sense.
报告人简介:
于志勇,山东大学数学学院教授,博士生导师。主要从事随机控制与随机微分博弈、倒向随机微分方程,和金融数学方面的研究。