Dear all,

We are glad to announce the first seminar of the Torino seminar series in Stochastics and Mathematical Statistics. 

 

Torino seminar series SMS is a monthly seminar series held at the Department of Mathematics G. Peano of the University of Turin. For more info and a list of future talks see https://sites.google.com/view/torinostochastics.

 

Date and time: Friday 1 October, 2021, h 17:00-18:00

Location: Aula Magna, Palazzo Campana, via Carlo Alberto 10, Torino

Speaker: Francesco RUSSO (ENSTA Paris, Institut Polytechnique de Paris)

 

Title:  Fokker-Planck equations with terminal condition and related McKean probabilistic representation  

 

Abstract: Stochastic differential equations (SDEs) in the sense of McKean are stochastic differential equations, whose coefficients do not only depend on time and on the position of the solution process, but also on its marginal laws. Often they constitute probabilistic representation of conservative PDEs, called Fokker-Planck equations; In general Fokker-Planck PDEs are well-posed if the initial condition is specified. Here, alternatively, we consider the inverse problem which consists in prescribing the final data: in particular we give sufficient conditions for existence and uniqueness. We also provide a probabilistic representation of those PDEs in the form of a solution of a McKean type equation corresponding to the time-reversal dynamics of a diffusion process. The research is motivated by some application consisting in representing some semilinear PDEs (typically Hamilton-Jacobi-Bellman in stochastic control) fully backwardly. This work is based on a collaboration with L. Izydorczyk (ENSTA), N. Oudhane (EDF), G. Tessitore (Milano Bicocca) 

 

Best regards,
The organizers (Tiziano De Angelis, Giuseppe D'Onofrio, Elena Issoglio)