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Nonlinear analysis and PDEs seminar

Time: Tuesday, September 19, 2017, 9h30 - 11h puis 11h30 - 12h30

Branching diffusion representation for nonlinear PDEs

Nizar Touzi (CMAP, Ecole polytechnique - Personal website)

The connection between the KPP equation and branching diffusions is well-known since the early works of Skorohod, Watanabee and McKeen. We provide an extension of this representation to general semilinear parabolic PDEs, and explore the induced Monte Carlo approximation method for the corresponding solution. We also provide applications to the unbiased simulation of stochastic differential equations, and extensions to general initial value problems.

 

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