报告题目：Numerical Solution of FBSDEs

报 告 人：赵卫东 教授 山东大学

报告时间：2020年11月27日  18:30-19:30

腾讯会议：https://meeting.tencent.com/s/uETDhaCKKEvZ

会议 ID：154 461 987

校内联系人：邹永魁 zouyk@jlu.edu.cn

报告摘要：

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.