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                                                     Seminar

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

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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

 

 

 

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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.


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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

 

 

 

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