SDEs with weighted local times and discontinuous coefficients, transmission boundary conditions for semilinear PDEs, and related BSDEs

Seminar series

Nomura Seminar

Date

Thu, 27 Nov 2014

Time

16:00 - 17:30

Location

Speaker

Professor Denis Talay

Organisation

INRIA

(Denis Talay, Inria — joint works with N. Champagnat, N. Perrin, S. Niklitschek Soto)

In this lecture we present recent results on SDEs with weighted local times and discontinuous coefficients. Their solutions allow one to construct probabilistic interpretations of semilinear PDEs with discontinuous coefficients and transmission boundary conditions in terms of BSDEs which do not satisfy classical conditions.