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SDE, BSDE under Nonlinear Expectation and the Paths of PDE

发布时间:2022-04-21     来源:    点击数:


报告题目:SDE, BSDE under Nonlinear Expectation and the Paths of PDE

主 讲 人:彭实戈院士

报告时间:2022年4月23日(周六) 20:00

ZOOM会议 ID:862 0394 3356  密码:045017

ZOOM会议链接:https://us02web.zoom.us/j/86203943356?pwd=NDd2cktYQlJSMGd1aXhsbUFEVVlsQT09


报告摘要:

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.


欢迎各位老师同学积极参加!


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