CCF Seminar

Francois Delarue
Universite Nice Sophia-Antipolis
Title: ome numerical methods for BSDEs

Abstract: I will discuss some numerical methods for BSDEs and fully coupled FBSDEs, having in mind the examples deriving from the analysis of large population stochastic control. In this setting, I will focus more precisely on some recent works in collaboration with D. Crisan's team at the Imperial College of London and with two PhD students in Nice (P.E. Chaudru and C. Garcia), and related with cubature methods for stochastic differential equations.

Date: Tuesday, April 30, 2013
Time: 10:00 am
Location: Wean 8220
Submitted by:  Shreve