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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