Prof. Zhao, Weidong (赵卫东)
School of Mathematics, Shandong University
Email: wdzhao@sdu.edu.cn
Abstract: Forward backward stochastic differential equations (FBSDEs) have applications in many fields including mathematical finance; partial differential equations (PDEs), stochastic PDEs, stochastic control, risk measure, game theory, and so on. In this talk, we will discuss discretization methods for solving FBSDEs, and report some of our numerical schemes and their error estimate results.
Research Interests
Numerical methods for stochastic differential equations and their applications
Numerical methods for partial differential equations and their application
Parallel methods
Numerical finance mathematics.
Date&Time: June 13, 2012 (Wednesday),10:00 – 11:00 a.m.
Location: 606 Conference Room
