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5. High Order Numerical Schemes for the Coupled FBSDEs with Applications to Stochastic Optimal Control

High Order Numerical Schemes for the Coupled FBSDEs with Applications to Stochastic Optimal Control

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：yyw2dy2001

【摘 要】

：

　　In this talk,we will introduce accurate numerical methods for solving coupled nonlinear forward backward stochastic differential equations with applications

【作 者】

：

ZhaoWeidong[1]ZHOUTAO[2] 

【机 构】

：

Shandong Univ.

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　In this talk,we will introduce accurate numerical methods for solving coupled nonlinear forward backward stochastic differential equations with applications in solving fully nonlinear second-order parabolic partial differential equations and stochastic optimal control problems.

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