Mathematical Finance Colloquium: On Backward Propagation of Chaos

Monday, December 2 at 2:00pm to 3:00pm

This is a past event.

Kaprielian Hall (KAP), 245 (Note the location)
3620 South Vermont Avenue, Los Angeles, CA 90089

Ludovic Tangpi, Princeton University

Abstract:
In this talk we will present an extension of the theory of propagation of chaos to backward (weakly) interacting diffusions. The focus will be on cases allowing for explicit convergence rates and concentration inequalities for the empirical measures. Among other consequences, we derive the approximation of some non-local, second order PDEs on an infinite dimensional space by a sequence of parabolic PDEs on finite dimensional spaces.

The talk is based on join works with D. Bartl and M. Lauriere.

Event Type

Lecture / Talk / Workshop

Campus

University Park Campus

Department
Mathematics
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