Mathematics Colloquium - Wednesday, April 17, 2019
A probabilistic approach to approximation of Kolmogorov PDEs
Dr. Arnab Ganguly
2:00 pm in NS 212D
Stochastic analysis offers a different perspective to understanding a broad class of second order PDEs. One interesting aspect of this fact is that it provides a probabilistic approach to numerically solving this class of PDEs, which are potentially more efficient than some traditional methods in higher dimensions. The talk will explore this connection between PDEs and stochastic analysis and will discuss error analyses associated with numerical schemes.