Applications to control

14 junho 2022, 10:30 • Ana Bela Cruzeiro

Applications to stochastic optimal control theory. Bellman's principle and equation.

Boundary valued problems

7 junho 2022, 10:30 • Ana Bela Cruzeiro

Pde's with boundary values: representation formulae (with stopping times for Dirichlet boundary conditions and local time for Neumann).

The Girsanov Theorem

31 maio 2022, 10:30 • Ana Bela Cruzeiro

The Cameron-Martin Girsanov Theorem. Conditions for the exponential martingale to be a proper one.

Sde's and Pde's

24 maio 2022, 10:30 • Ana Bela Cruzeiro

Probabilistic representation formulae for partial differential equations. The inhomogeneous heat equation, the Feynman-Kac and the Girsanov formulae.

Diffusion processes and generators

17 maio 2022, 10:30 • Ana Bela Cruzeiro