PIMS-SFU Applied & Computational Math Seminar: Jinniao Qiu

The talk will be devoted to a simple introduction to stochastic PDEs (SPDEs) driven by Wiener processes, including both forward and backward (in time) cases. Some motivations, as well as the duality relationship between forward and backward SPDEs, will be presented.  Applications will also be discussed. Especially, the stochastic Hamilton-Jacobi-Bellman equations arising from the stochastic control(variation) problems would also be introduced if time allows.