Teng Wang
The purpose of this talk is to deviate some PDE theorems from probability aspect. To do this ,we will need Ito's formula. It is a very power tool when people want to "differentiate" a stochastic process. In the talk, we will start with some definitions to introduce Ito's formula. After this is done, we will see two applications of Ito's formula in PDE theory, Feynman-Kac formula and maximum principle. Prerequisites will be kept to a minimum.
Go Back to Junior Coll. Web page
URL http://www.math.umn.edu/jrcoll/ The University of Minnesota is an equal opportunity educator and employer. © 2004, The Regents of the University of Minnesota |
|