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Graduate Seminar

Samuel Cohn
Carnegie Mellon University
Title: Random Walks and the Heat Equation: An Introduction to Stochastic Representation Formulas for PDEs

Abstract: In the past century, probability has managed to work its way into virtually every area of mathematics and PDEs are no exception. A great variety of "stochastic representation formulas" have been developed to compute or express solutions to various PDE. Here we will describe the most standard and basic examples of these which use Brownian motion to solve Dirichlet problems and boundary value problems for the heat equation. To keep prerequisites at a minimum, we will begin at the discrete level and work our way to the continuum.

Date: Tuesday, September 20, 2016
Time: 5:30 pm
Location: Wean Hall 8220
Submitted by:  Yangxi Ou
Note: Video on Youtube: https://youtu.be/PPuZQLaeHlM