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Prof. Wei-Dong Zhao
School of Mathematics, Shandong University |
Abstract: In this talk, by introducing a new kind of orthogonal polynomials which we call backward orthogonal polynomials, and a new Brownian motion, we propose a new multi-step numerical scheme for solving decoupled forward-backward stochastic differential equations (DFBSDEs). We rigorously estimate the errors of the scheme. Under Lipschtiz conditions on the coefficients of DFBSDEs, we get a very general error estimate result, which also implies the stability of the scheme, and under some reasonable regularity conditions on the coefficients, we obtain the high-order convergence rate of the proposed scheme.
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 20, 2012 (Thursday), 14:00–15:00
Location: 606 Conference Room
