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This course is concentrated on the stochastic partial differential
equations (SPDEs) of parabolic type, which arise in many fields of pure
and applied sciences. The study of SPDEs can be dated back about forty
years ago and different approaches have been developed for both forward
and backward SPDEs. The purpose of this course is to present a
self-contained introduction to the “variational approach” and discuss the
applications in stochastic control, finance and economics.
Course requirements: basic knowledge of functional analysis, real analysis,
differential equation and probability theory and stochastic analysis.
Suggested Literature will be given during the course. |
