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Computer, Electrical and Mathematical Sciences and Engineering
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  3. Upcoming Events - Dec 22 - Dec 28, 2024

Upcoming Events - Dec 22 - Dec 28, 2024

Tue, Dec 17 2024

Newsletter Upcoming Events

Stay informed about the latest events happening within the CEMSE Division. Here is what is coming up next week:

SDE, BSDE under Nonlinear Expectation and Fully Nonlinear Path-dependent Parabolic PDE

Shige Peng, Academician of the Chinese Academy of Sciences, Professor of Mathematics, and Chairman of the Research Center for Mathematics and Interdisciplinary Sciences at Shandong University

Dec 22, 11:00 - 12:00

B1, L3, R3119

In this talk we begin with stochastic differential equations (SDE, or FSDE) and backward stochastic differential equations (BSDE) driven by a d-dimensional G-Brownian motion defined on a nonlinear expectation space. The corresponding BSDE is then a path-solution of the corresponding (deterministic) path-dependent fully nonlinear partial differential equation of second order. This, combined with the powerful deep learning approach, provides an important tool for solving numerical solutions of a system of high dimensional partial differential equations of parabolic type.

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