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

Date: August 12
Time: 16:00--18:30
Room: 109

(Note: Click title to show the abstract.)

Organizer:
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.


MS-We-E-28-1
16:00--16:25
Regression Monte-Carlo with adaptive approximation selection applied to BSDE-FBSDE
Gobet, Emmanuel (Ecole Polytechnique)


MS-We-E-28-2
16:25--16:50
Layer methods for stochastic Navier-Stokes equations using simplest characteristics
Tretyakov, Michael (Univ. of Nottingham)


MS-We-E-28-3
16:50--17:15
Monotone schemes for fully nonlinear parabolic path dependent PDEs
Zhang, Jianfeng (Univ. of Southern California)


MS-We-E-28-4
17:15--17:40
Numerical solution of backward stochastic differential equations with jumps for a class of nonlocal diffusion problems
Zhang, Guannan (Oak Ridge National Laboratory)
Zhao, Weidong (Shandong Univ.)
Webster, Clayton (Oak Ridge National Laboratory)


MS-We-E-28-5
17:40--18:05
Numerical scheme for regular semilinear Stochastic PDEs via Backward Doubly Stochastic Differential Equations
Mnif, Mohamed (Ecole Nationale d'Ingenieurs de Tunis)

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Footnote:
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