国家数学与交叉科学中心合肥分中心报告会

报告题目：随机模拟: 从 Brown 运动到倒向随机微分方程
          Stochastic simulation : from Brownian motion to Backward Stochastic Differential Equations

报 告 人：许明宇 教授
          中国科学院数学与系统科学研究院

报告时间：11月19日(星期一) 下午4点

报告地点: 管理科研楼1518

内容摘要: In this talk, we study stochastic simulation, beginning from Brownian motion then to the
numerical algorithm and simulation of BSDE, and prove the convegence result. Non-linear backward
stochastic differential equations (BSDEs in short) were firstly introduced by Pardoux and Peng in 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 driving coefficient is Lipschitz in the space variables uniformly in the time variable. From then on, the theory of backward stochastic differential equations (BSDE) has been widely and rapidly developed. And many problems in mathematical finance can be treated as BSDEs. The natural connection between BSDE and partial differential equations(PDE) of parabolic and elliptic types is also important applications.

主办单位：中国科学技术大学数学科学学院

         国家数学与交叉科学中心合肥分中心

 
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