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AMS Weekly Postdoc Seminar: Maxim Bichuch in N105 (Wyman Park), also available via Zoom (link below).

February 14, 2022 @ 2:00 pm - 3:00 pm

Title: “Deep PDE Solution of BSDE

Abstract: This talk will investigate the numerical convergence of a solution to a Backward Stochastic Differential Equation (BSDE) using a deep learning method. We transform the BSDE problem to a problem with a coupled Partial Differential Equations (PDEs), and find the relationship between the solutions to the two problems. We find sufficient conditions for the solution of the coupled PDE to be classical, and use a deep Galerkin method to obtain an approximation to the solution of the BSDE. We illustrate this with numerical examples. This is a joint work with Jiahao Hou.

We look forward to see you there.

Zoom link

https://wse.zoom.us/j/98192632838?pwd=L0Izb3dXUXNjcUxDV09URmViRTJUUT09

Meeting ID : 981 9263 2838

Secret Password : 272656

 

Details

Date:
February 14, 2022
Time:
2:00 pm - 3:00 pm