UM Math Graduate Students Seminar

Yishu Song
University of Miami

will present

Diffusion processes and differential equations

Friday, February 13, 2015, 3:30pm
Ungar Building Room 402


Abstract: 

In this talk, we'll discuss the interaction between diffusion process and differential equations via stochastic calculus. I'll start with basic notions such as martingale, Brownian motion and stochastic differential equations, etc. Then we'll see how classic PDE's are solved via Ito formula. At the end, both as a reason and a consequence of the theory developed, an example of some practical significance will be studied.


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