When: Feb 14 2022 @ 2:00 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


Meeting ID : 981 9263 2838

Secret Password : 272656