数学大讲堂

【Math Department Invited Talk】Numerical Methods for FBSDEs with Applications

  • 演讲者:赵卫东(山东大学)

  • 时间:2019-09-24 10:00-11:00

  • 地点:慧园3栋 415报告厅

Abstract:In this talk, we will introduce two kinds of numerical methods for solving forward backward stochastic differential equations (FBSDEs) with applications in solving fully nonlinear partial differential equations and stochastic optimal control. Some numerical tests will be given to show the accuracy, effectiveness and stability of the methods.