Aim:

Non-linear Partial Differential Equations (PDEs) are a powerful tool for modelisation in Physics, Chemistry, Biology and Economics. In Natural Sciences, they often arise in the limiting description at a meso- or macro-scopic level of systems of interacting particules. They are then known as Fokker-Planck equations describing the forward evolution of the system and generally exhibit mean-field features. In Economics, they are often used to characterize solutions of complex stochastic optimisation problem designed to guide economics agents in their decision making. The equations are then known as Hamilton-Jacobi-Bellman equation and are, in nature, of backward type. The goal of this workshop is to bring together the world's leading researchers on the topic of probabilistic numerical methods for non-linear PDEs, both at a theoretical and practical point of view. The idea of mixing two communities working on two different kind of PDEs: Fokker-Planck equation and Hamilton-Jacobi-Bellman, will hopefully lead to the development of new techniques for PDEs related to large population stochastic control problem (e.g. mean field games).

List of invited speakers:

  • Mireille Bossy, INRIA.
  • Philippe Briand, Université de Savoie.
  • Jose Carrillo, Imperial College London
  • Dan Crisan, Imperial College London.
  • Pierre Degond, Imperial College London.
  • François Delarue, Université de Nice.
  • Giacomo Dimarco, Università di Ferrara.
  • Camillo Garcia, University College London.
  • Martin Hairer, Warwick University.
  • Arnulf Jentzen, ETH Zürich.
  • Benjamin Jourdain, Université Paris-Est.
  • Axel Klar, Technische Universität Kaiserslautern.
  • Tony Lelièvre, Ecole des Ponts ParisTech.
  • Gilles Pagès, Université Paris 6.
  • Greg Pavliotis, Imperial College London.
  • Huyen Pham, Université Paris 7.
  • Dylan Possamaï, Université Paris-Dauphine
  • Adrien Richou, Université de Bordeaux.
  • Denis Talay, INRIA.
  • Nizar Touzi, Ecole Polytechnique.

Scientific Committee: Jose Carrillo, Jean-François Chassagneux, Dan Crisan.

Organiser: Jean-François Chassagneux.

Timetable & Registration:

  • - The workshop will start at 1.45pm on Monday June, 29 2015 and finish at 5.30pm on Wednesday July, 1. 2015.
  • - The programme with titles and abstract is available here.
  • - Registration is closed.

Information:

  • The workshop will take place in the Huxley Building of the South Kensington campus (room LT340 on the level 3) of Imperial College London. Huxley Building is number 13 on the campus map. To reach the room, enter the Building via the Queen's gate entrance, and take the lift (on the left) to level 3. Arrived at level 3, go through the doors. The room is located on the left in the corridor in front of you.
  • For further queries, please contact the organiser via email.

This workshop is funded by a platform grant from the Mathematics Department of Imperial College and the ANR grant Liquirisk.