Presentation Name: Monte Carlo Methods for Forward Backward SDEs
Presenter: Prof. Zhang Jianfeng
Date: 2007-08-12
Location: 光华东主楼1801室
Abstract:

Due to its applications in many areas, numerical methods for Forward Backward SDEs, especially in high dimensions, have received strong attention in recent years. There are typicaly two approaches: PDE approach and Monte Carlo approach. The former one faces the so called curse of dimensionality, and in general works only for problems up to 3 dimensions. The Monte Carlo approach is relatively insensitve to the dimension. In this ta lk we will first review the so called Backward Euler Scheme for decoupled FBSDEs, and then introduce a new result for coupled FBSDEs. Finally we test our algorithm for a 10 dimensional problem.

 

Annual Speech Directory: No.98

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