Institut de Mathématiques de Toulouse

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Groupe de travail Processus

par Manon Costa - publié le , mis à jour le

  • Mercredi 27 mars 13:00-14:00 - Anthony Reveillac

    On the Feynman-Kac formula

    Résumé : I will present some summary on the Feynman-Kac formula which relates some probabilistic objects (such as the Brownian motion or Stochastic Differential Equations) with analytic ones (such as Parabolic PDEs). As an application, we will provide a derivation of a class of Hamilton-Jacobi-Bellman PDEs as value functions of Stochastic Optimal Control problems (that appear for instance in Mathematic Finance). This talk is aimed to make precise this (somehow quite old) paradigm. If the participants are interested in more recent developments on this theory I will present some of them in a future session.

    Lieu : INSA Room GMM 139