Numerical Analysis for Forward-Backward Stochastic Differential Equations and Related Problems - Part II of II
For Part I, see MS-We-E-28

Date: August 13
Time: 10:00--12:30
Room: 109

(Note: Click title to show the abstract.)

Zhao, Weidong (Shandong Univ.)
ZHOU, TAO (AMSS, the Chinese Acad. of Sci.)

Abstract: Backward stochastic differential equations (BSDE's) were first introduced by J.M. Bismut in 1973 and generalized to the nonlinear form by Pardoux and Peng in 1990. Since then, BSDEs and coupled FBSDEs have been widely studied and used in connection with partial differential equations, stochastic optimal control theory, nonlinear filtering and mathematical finance. The numerical analysis of FBSDEs is more complicated than that of classical SDEs, so that there are many interesting and challenging open problems. The mini-symposium aims at exploring efforts related to numerical analysis for FBSDEs and related problems such as SPDEs, nonlocal diffusions, nonlinear filtering, stochastic optimal control, mathematical finance, etc.

High order numerical schemes for the coupled FBSDEs with applications to stochastic optimal control
Zhao, Weidong (Shandong Univ.)
ZHOU, TAO (AMSS, the Chinese Acad. of Sci.)

Error estimate of the Crank-Nicolson scheme for solving the decoupled FBSDEs
Li, Yang (Univ. of Shanghai for Sci. & Tech.)
Zhao, Weidong (Shandong Univ.)

Efficient numerical methods for backward forward doubly stochastic differential equations and their applications to nonlinear filtering problems
Cao, Yanzhao (Auburn Univ.)

Numerical approximation of switching problems
Chassagneux, Jean-francois (Imperial College London)

Fourier cosine expansions for backward stochastic differential equations in finance
Oosterlee, Cornelis (CWI -center for mathematics & computer Sci.)


Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA