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Prof. Wei-Dong Zhao
School of Mathematics, Shandong University |
Abstract: Many problems are related to forward-backward stochastic differential equations (FBSDEs) such as PDEs, stochastic optimal control, mathematical finance, risk measure, and so on. In 1990, Pardoux and Peng solved the existence and the uniqueness of nonlinear backward stochastic differential equations (BSDEs). Since then, FBSDEs has been extensively studied. There are also some works on numerical methods for solving FBSDEs. In this talk, I will introduce some numerical methods we proposed for solving backward and decoupled forward-backward stochastic differential equations.
About the Speaker: Dr. Wei-Dong Zhao received his B.S. and M.S. degrees in Computational Mathematics from Shandong University in 1984 and 1987 respectively. Upon graduation, he became a teaching staff in Shandong University. He was promoted to Professor of Mathematics in 2002. Dr. Zhao’s research interests include Numerical methods for stochastic differential equations and their applications in finance, Numerical methods for partial differential equations and their application in porous media flow, Parallel methods and Numerical finance mathematics.
Date&Time: December 18, 2012 (Tuesday), 10:30–11:30 a.m.
Location: 606 Conference Room
