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【70周年校庆】赵卫东教授学术报告

发布时间:2020-12-04 阅读量:

报告专家:赵卫东教授(山东大学)

报告题目:Second-Order Methods for Decoupled Mean-Field Forward Backward Stochastic Differential Equations

报告地点:腾讯会议 ID: 765 900 110

报告时间:12月6日上午9:30

报告简介:

       The mean-field forward backward stochastic differential equations have applications in many important problems, and were introduced and developed in diverse research areas, such as: kinetic gas theory, quantum mechanics, quantum chemistry, economics and finance, mean-field games for large population multi-agent systems, stochastic particle systems with mean-field interactions, and so on. The solutions of MFBSDEs depend not only on the position of the forward SDE, but also on the distribution of the forward SDE. Compared with great efforts made on numerical methods for solving FBSDEs, it is more difficult to propose efficient and accurate schemes for solving MFBSDEs.

In this talk, we shall introduce an explicit second order method for solving MFBSDEs. Its stability and sharp error estimates will be presented, which show that the proposed scheme can achieve second-order convergence rate. Some numerical tests are given to verify the theoretical results.

报告人简介:

       赵卫东,山东大学数学学院教授、博士生导师,彭实戈院士创新群体主要骨干成员。主要从事计算数学和科学工程计算领域的研究工作,研究方向包括:正倒向随机微分方程、确定性和随机偏微分方程、随机最优控制的数值方法、金融中的随机计算方法等等。主持国家自然科学面上基金多项和山东省自然科学基金重点项目一项,参加国家“973”项目一项、国家自然科学基金重点项目多项。在正、倒向随机微分方程、随机最优控制数值解和随机偏微分方程数值解等方面取得一批重要研究成果,在SIAM J. Sci. Comput., SIAM J. Numer. Anal., SIAM/ASA J. Uncertain. Quan.等国际著名学术刊物上发表论文80余篇。