********************************************************************

                                                     Seminar

             Department of Systems Engineering and Engineering Management
The Chinese University of Hong Kong

------------------------------------------------------------------------------------------

Title	:	Numerical Algorithms for Backward Stochastic Differential Equations: Convergence and Simulations
Speaker	:	Prof. Mingyu Xu
		Insitute of applied mathematics, academy of mathematics and system science, CAS
Date	:	Oct. 27th, 2011 (Thursday)
Time	:	4:30 p.m. - 5:30 p.m.
Venue	:	Room 513
		William M.W. Mong Engineering Building
		(Engineering Building Complex Phase 2)
		CUHK

------------------------------------------------------------------------------------------

Abstract:

Non-linear backward stochastic differential equations (BSDEs in short) were firstly introduced by Pardoux and Peng (\\cite{PP1990}, 1990), who proved the existence and uniqueness of the adapted solution, under smooth square integrability assumptions on the
coefficient and the terminal condition, and when the coefficient $g(t,\\omega ,y,z)$ is Lipschitz in $(y,z)$ uniformly in $(t,\\omega)$. For many nonlinear cases of $g$, we cannot find the solution explicitly. Here we study different algorithms for backward
stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for are introduced.
Then we prove the convergence of different algorithms and give simulation results for different types of BSDEs. And we will give some simulations for Brownian motion and BSDEs.

-------------------------------------------------------------------------------------------

Biography:

XU Mingyu is graduated from Shandong University and University of Maine(France). Now she works in Insitute of applied mathematics, academy of mathematics and system science, CAS, as associate professor.

************************* ALL ARE WELCOME ************************

Host	:	Prof. Chen Nan
Tel	:	(852) 2609-8237
Email	:	nchen@se.cuhk.edu.hk
Enquiries	:	Prof. Nan Chen or Prof. Sean X. Zhou
	:	Department of Systems Engineering and Engineering Management
		CUHK
Website	:	http://www.se.cuhk.edu.hk/~seem5201
Email	:	seem5201@se.cuhk.edu.hk

********************************************************************