报告人:赵卫东（山东大学）

报告题目：Stochastic difference approximation of FBSDEs

报告摘要：In this talk, based on nonlinear Feynman-Kac formulas and derivative difference approximations, we propose a new kind of second-order numerical schemesfor solving forward-backward stochastic differential equations (FBSDEs) and second-order forward-backward stochastic differential equations (2FBSDEs). The proposed methods can be applied to solving the second-order fully nonlinear parabolic partial differential equations coming fromstochastic optimal control problems. Compared with other numerical methods in literature, the proposed schemesin this paper are simpler in structure and easier in use. In order to demonstrate the accuracy and effectiveness of the methods, several numerical examplesare also given.

报告人简介：赵卫东，山东大学数学学院教授、博士生导师，现为彭实戈院士研究团队主要成员。一直从事正倒向随机微分数值解研究，主持过国家自然科学基金面上项目多项,并参加有国家自然科学基金重大专项项目及“973”项目等，在《SIAM J. Sci. Comput.》、《SIAM J. Numer. Anal. 》、《Stat. Prob. Lett.》等国际重要刊物发表论文70余篇.

报告时间：2019年4月27日（星期六）上午11:00-12:00.

报告地点：科技楼南702室