• Presentation Name🕳: Monte Carlo Methods for Forward Backward SDEs
    Presenter: Prof. Zhang Jianfeng
    Date: 2007-08-12
    Location: 光华东主楼1801室
    Abstract:

    Due to its applications in many areas, numerical methods for Forward Backward SDEs, especially in high dimensions, have received strong attention in recent years. There are typicaly two approaches: PDE approach and Monte Carlo approach. The former one faces the so called curse of dimensionality, and in general works only for problems up to 3 dimensions. The Monte Carlo approach is relatively insensitve to the dimension. In this ta lk we will first review the so called Backward Euler Scheme for decoupled FBSDEs, and then introduce a new result for coupled FBSDEs. Finally we test our algorithm for a 10 dimensional problem.

     

    Annual Speech Directory🪄: No.98

    220 Handan Rd., Yangpu District, Shanghai ( 200433 )| Operator:+86 21 65642222

    Copyright © 2016 FUDAN University. All Rights Reserved

    杏悦专业提供:杏悦等服务,提供最新官网平台、地址、注册、登陆、登录、入口、全站、网站、网页、网址、娱乐、手机版、app、下载、欧洲杯、欧冠、nba、世界杯、英超等,界面美观优质完美,安全稳定,服务一流,杏悦欢迎您。 杏悦官网xml地图
    杏悦 杏悦 杏悦 杏悦 杏悦 杏悦 杏悦 杏悦 杏悦 杏悦