报告人: 赵卫东（山东大学）

报告题目: High-Order Numerical Methods for Stochastic Optimal Control Via FBSDEs

报告摘要：In this talk, based on the theories of optimization, stochastic optimal control and forward backward differential equations (FBSDEs), we will introduce some numerical schemes for solving stochastic optima control. In these schemes, the simplest Euler scheme is used to numerically solve the solutions of the forward stochastic differential equations, and multistep schemes is used to solve the backward stochastic differential equation (BSDE) with high convergence rate. Some stochastic optimal control models, coming from finance and economy, are solved by the schemes. Our numerical results show that our schemes are stable, high accurate, and effective for solving stochastic optimal control problems.

报告人简介：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: 2018年9月22日（星期六）上午9:00-10：00

报告地点: 科技楼南楼702室