PDE Seminar Approach to fully nonlinear parabolic PDEs via deterministic control

2009-05-25 16:30 - 2009-05-25 17:30
Fac of Sci. bldg 3, 2nd floor, Room 202
Kouta Kasai (Hokkaido University)
A broad class of second-order PDEs can be represented as theHamilton-Jacobi-Bellman equations of deterministic games.Precisely, it means the value function of the game converges tothe viscosity solution of the corresponding PDE. Our game is based on"min-max scheme" of two players at each time step.Robert V. Kohn and S. Serfaty gave a deterministic-control-based approachfor the equations that have no singularity. In this talk, we state theapplying their methods to the case with a singularity.