Séminaire Analyse Numérique et EDP
An optimal transport approach to free boundary problems
fév. 2024
Intervenant : Kim Young-Heon
Institution : University of British Columbia
Heure : 14h00 - 15h00
Lieu : 3L8

In this talk, we discuss how optimal transport, which is a theory for matching different distributions in a cost effective way, is applied to stochastic processes, then to free boundary problems. In particular, we focus on the Stefan problem which is a free boundary problem describing the interface between water and ice.  We consider the case where mass is carried by the stochastic process, and the transportation is determined by a stopping time, a random time for stopping the process. Our approach is related to the Skorokhod problem, a classical problem in probability regarding the Brownian motion.

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