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Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: Towards a (rough) pathwise theory of fully non-linear stochastic partial differential equations

Workshop: Computational Methods with Applications in Finance, Insurance and the Life Sciences AND Stochastic Methods in Partial Differential Equations and Applications of Deterministic and Stochastic PDEs

Time: Thu, November 20, 2008, 15:00-15:50

Speaker: Peter Friz

Abstract

We return to the seminal works of P.L.Lions–P.Souganidis on
stochastic partial differential equations in viscosity sense and present some
evidence of how rough path analysis a la T.Lyons may allow to continue, and
perhaps complete, the program they outlined in a series of paper from 1998-2003.

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