Center for Computational Finance
CCF Home
Conferences
Seminars
Working Groups
Nash Lectures
Heath Lectures
People
Open Positions
Contact

CCF Seminar
Ibrahim Ekren University of Southern California Title: Pathdependent heat equation as an introduction to viscosity solutions of PPDEs Abstract: In this talk, we define derivatives of functionals on the space of continuous paths and give an introduction to pathdependent partial differential equations (PPDEs). Since the space of continuous paths is not locally compact, we cannot rely on the theory of viscosity solutions for PDEs and need to develop a new approach. We focus on the pathdependent heat equation and link it to a control problem. We define viscosity solution of the pathdependent heat equation and prove its uniqueness. We will also point out the main difficulties of fully nonliear PPDEs and mention some applications. This talk is based on joint works with Christian Keller, Nizar Touzi and Jianfeng Zhang. Date: Monday, January 13, 2014 Time: 5:00 pm Location: Wean 8220 Submitted by: Steve Shreve Note: PLEASE NOTE THE SEMINAR HAS MOVED TO WEAN 8220. 