Lien EDP, EDS et Applications

Abstract

The object of this memory is to present the link between partial di§erential equations ìPDEîand stochastic di§erential equations ìSDEîdue to the relationships that exist between probabilities and partial di§erential equations through stochastic processes. These are often connected to linear di§erential operators, which allows the solutions of certain ìEDPî to be expressed in terms of stochastic processes.