Title of Talk: High accurate schemes for FBSDEs with jumps
نویسندگان
چکیده
In this talk, we will introduce high accurate numerical schemes for solving forward backward stochastic differential equations (FBSDEs) with jumps. In these schemes, the simplest Euler scheme with only one jump is used to solve the forward stochastic differential equation (SDE), and multistep schemes is used to solve the backward stochastic differential equation (BSDE) with high convergence rate. These schemes may have applications in solving some partial-integral differential equations and nonlocal diffusion problems. Numerical experiments are presented to show the effectiveness of the schemes for solving FBSDEs with jumps. 16:55 C14-2 (Invited) Title of Talk : A robust numerical method for the Maxwell equations with random interfaces via shape calculus and low-rank approximation
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