报告题目：SDE, BSDE under Nonlinear Expectation and the Paths of PDE
主 讲 人：彭实戈院士
ZOOM会议 ID：862 0394 3356 密码：045017
In this talk we begin with (forward) stochastic differential equations (SDE, or FSDE) and backward stochastic differential equations (BSDE) driven by a standard d-dimensional Brownian motion defined on a probability space. The solution of the BSDE is in fact a path-solution of the corresponding (deterministic) quasilinear differential differential equations. This discovery, combined with the magic deep learning approach, provides a powerful tool of the numerical solution of a system of a high dimensional partial differential equation of parabolic and elliptic types. We also discuss the fully nonlinear case in which the Brownian motion is replaced by a d-dimensional G-Brownian motion under a nonlinear expectation space.