Research Horizons Seminar
Wednesday, November 9, 2011 - 12:05
1 hour (actually 50 minutes)
I will give a brief introduction to the theory ofviscosity solutions of second order PDE. In particular, I will discussHamilton-Jacobi-Bellman-Isaacs equations and their connections withstochastic optimal control and stochastic differentialgames problems. I will also present extensions of viscositysolutions to integro-PDE.