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Series of Academic Activities of School and Institute of Mathematics in 2020（the 292th）：Professor Weidong Zhao Shandong University

Posted: 2021-01-04   Views: 

Report title: Numerical Solution of FBSDEs


Reporter: Professor Weidong Zhao Shandong University


Reporting time: 18:30-19:30, November 27, 2020


Tencent Conference: https://meeting.tencent.com/s/uETDhaCKKEvZ


Conference ID: 154 461 987


School contact: Zou Yongkui zouyk@jlu.edu.cn




Report summary:


Forward backward stochastic differential (FBSDEs) equations have applications in many important fields, such as mathematical finance, uncertainty quantification, stochastic optimal control, risk measure, partial differential equations, and so on. In this talk, we will introduce two kinds of numerical methods , integration method and differentiation method, for solving FBSDEs. These methods can be used in solving solutions of PDEs, HJB equations, SPDEs, BSPDEs, stochastic optimal control problems, nonlocal diffusion problems, and other related problems.


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