Colloquium

[Math Department Invited Talk] Numerical Methods for FBSDEs with Applications

  • Speaker: ZHAO Weidong (Shandong University)

  • Time: Sep 24, 2019, 10:00-11:00

  • Location: Conference Room 415, Hui Yuan 3#

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.