**Claremont Mathematics Weekend**

** **

*Sponsored by Claremont Colleges*

* *

**January 30 - 31, 2016**

**Speaker:** **Henry Schellhorn****Title:** Semi-group Solution of Second Order Fully Nonlinear Parabolic Partial Differential Equations**Abstract:**

The Hamilton-Jacobi-Bellman equation (HJB) of stochastic control is an example of a fully nonlinear parabolic second-order PDE. As far as we know, a semi-group theory has not yet been proposed for this type of equation. One application of the semi-group theory is to give conditions for local existence of the PDE and, in some very particular cases, for global existence. The advantage of the semi-group method is that the existence proof is constructive, and thus leads automatically to Picard-type algorithms for the numerical computation of solutions. For the HJB equation, this method is similar to the policy iteration method, which was developed only in the discrete-time setting.

We obtain a semi-group solution by combining two new results from stochastic analysis. First, we use a result by Cheridito, Soner, Touzi, and Victoir (2006) which characterizes the solution of that PDE as a second-order backward stochastic differential (2BSDE). Since there is a martingale solution to the 2BSDE, the solution of the PDE is directly related to the martingale solving the corresponding BSDE. Secondly, we reuse one of our results ( Jin, Peng, and Schellhorn 2015) , where we gave a new representation of a Brownian martingale as the exponential of a time-dependent generator, applied to the terminal value.

__Claremont Graduate University__ | __Claremont McKenna__ | __Harvey Mudd__ | __Pitzer__ | __Pomona__ | __Scripps__

Proudly Serving Math Community at the Claremont Colleges Since 2007

Copyright © 2018 Claremont Center for the Mathematical Sciences