Conference Proposal: "Nonlinear PDEs, Stochastic Control, and Filtering: New Methods and Applications"
Abstract
The objective of the meeting is to revisit classical problems and explore new directions where real-world problems have been and can be successfully studied by an exchange of ideas and methods from PDE, probability, and numerical analysis. Topics of the meeting where both probabilistic and analytic methods have been essential to achieve major developments in recent years include the following. ¥ Nonlinear PDEs of parabolic and elliptic types arising in stochastic control problems (often called Bellman equations, or HamiltonÐJacobiÐBellman equations), and in stochastic differential games (Isaacs equation). These equations play important roles also in other areas of mathematics and applied fields. Monge Amp�re equation, which is a special Bellman equation, arises, for example, in solving central problems in differential geometry and in optimal transport. ¥ Stochastic partial differential equations arising in nonlinear filtering (Zakai equations, KushnerÐShiryaev equations), in Biology (e.g., the FlemingÐViot and DawsonÐWatanabe equations), in Engineering (e.g., stochastic NavierÐStokes equations) and in Physics (e.g., the KardarÐParisiÐZhang equation).
Document Details
- Document Type
- DoD Grant Award
- Publication Date
- Oct 11, 2018
- Source ID
- W911NF1710284
Entities
People
- Hongjie Dong
Organizations
- Army Contracting Command
- Brown University
- United States Army