江苏省应用数学(williamhill威廉希尔官网)中心系列学术报告
报告题目:Numerical methods for solving forward backward SDEs and applications in stochastic optimal control and option pricing
报告人:付余(山东科技大学)
报告时间:2024年12月11日(周三)下午13:30-16:00
报告地点:腾讯会议ID:678-436-779
报告摘要:Forward backward stochastic differential equations (FBSDEs) have found important applications in control theory and mathematical finance. In this talk, we briefly introduce the generator approximation method for solving FBSDEs and study some applications, including a second-order scheme for solving stochastic optimal control problems and a parameter calibration method in option pricing model.
报告人简介:付余,山东科技大学数学与系统科学学院副教授。主要从事随机计算和金融数学方向的研究。主持国家自然科学基金青年基金和山东省自然科学基金,在SIAM Journal on Scientific Computing, Journal of Scientific Computing,Discrete and Continuous Dynamical Systems-B,Science China Mathematics等高水平期刊发表学术论文多篇。