In this presentation we will explain how Fourier cosine expansions can be used to solve BSDEs originating from finance.By solving BSDEs,we can find the solu
We use the representation of Switching Problems as obliquely reflected BSDEs to obtain a numerical approximation of the solution.We thus focus on the discre
In this talk,by the theory of the multiple Malliavin calculus,we will introduce Crank-Nicolson scheme for solving decoupled forward-backward stochastic diff
Backward stochastic differential equations(BSDE's)were first introduced by J.M.Bismut in 1973 and generalized to the nonlinear form by Pardoux and Peng in 1
In this talk,we develop a dual mixed finite element method for the Brinkman problem.In this approach,the velocity and the deviatoric part of the velocity gr
In this effort,we developed an adaptive hierarchical sparse-grid(AHSG)surrogate modeling approach to Bayesian inference of large eddy simulation(LES)models,
Multiscale weak Galerkin finite element methods will be introduced in the presentation.The Weak Galerkin method is an extension of the standard Galerkin fin
We propose a partitioned,two step,second-order method for magnetohydrodynamics in Els(a)sser variables,which treats implicitly the subproblem terms and expl
In this talk,we will introduce accurate numerical methods for solving coupled nonlinear forward backward stochastic differential equations with applications