Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Thursday, April 05, 2018
Location:  1360 East Hall (3:00 PM to 4:00 PM)

Title:  ​Math finance seminar 2: Branching particles representation for nonlinear Cauchy problems

Abstract:   ​​We provide a probabilistic representations of the solution of some semilinear hyperbolic and high-order PDEs based on branching diffusions. This is a direct extension of our previous work in the context of semilinear parabolic PDEs based on the classical Mc Kean representation for KPP equations. These representations pave the way for a Monte-Carlo approximation of the solution, thus bypassing the curse of dimensionality. We illustrate the numerical implications in the context of some popular PDEs in physics such as nonlinear Klein-Gordon equation, a simplified scalar version of the Yang-Mills equation, a fourth-order nonlinear beam equation and the Gross- Pitaevskii PDE as an example of nonlinear Schr ̈odinger equations.

Sponsored by the Van Eenam Lecture Series


Speaker:  Nizar Touzi
Institution:  Ecole Polytechniqie

Event Organizer:   Erhan Bayraktar


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