Discretization Methods for solving FBSDEs
主 题: Discretization Methods for solving FBSDEs
报告人: 赵卫东 教授 （山东大学数学学院）
时 间: 2013-12-24 15:00-16:00
地 点: 理科一号楼1365室（主持人：李铁军）
The existence and uniqueness of solutions of nonlinear backward stochastic differential equations (BSDEs) were proved by Pardoux and Peng in 1990. Since then, forward-backward stochastic differential equations (FBSDEs) have been extensively studied. Many problems are related to such as PDEs, stochastic optimal control, mathematical finance, risk measure, nonlocal diffusion, and so on. In this talk, I will introduce some simple discretization methods for solving BSDEs and decoupled FBSDEs, their error estimate results, and some numerical tests.