学术报告

报告人：赵卫东  教授 （山东大学数学学院）

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.

报告题目: Numerical solutions of forward-backward stochastic differential equations

报告摘要: In this talk, we will introduce a numerical scheme for decoupled forward-backward stochastic differential equations (FBSDEs) with jumps. This scheme is constituted by a classic scheme for the forward SDE and a novel scheme for the backward SDE. Under some reasonable regularity conditions, we prove that the semi-discrete scheme can achieve second-order convergence in approximating FBSDEs. We also give several numerical examples to illustrate the effectiveness and the high accuracy of the proposed scheme.

报告时间: 2016年5月14日（星期六）下午4:00-5:00

报告地点: 科技楼南楼602室