報告題目：Numerical Solution of FBSDEs
報 告 人：趙衛東 教授 山東大學
報告時間：2020年11月27日 18:30-19:30
騰訊會議：https://meeting.tencent.com/s/uETDhaCKKEvZ
會議 ID：154 461 987
校内聯系人：鄒永魁 zouyk@jlu.edu.cn
報告摘要：
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.
