Speaker: Andrzej Swiech, School of Mathematics, Georgia Institute of Technology
ABSTRACT
We will discuss the notion of viscosity solution for integro-PDE in infinite dimensional spaces and its application to a large deviation principle result for solutions of abstract stochastic evolution equations with small Levy noise. The result is obtained by a combination of PDE and probabilistic techniques. The key component of this approach is the use of Hamilton-Jacobi-Bellman integro-partial differential equations in Hilbert spaces.