Condivido molto volentieri
---------- Forwarded message --------- Da: Stefan Geiss geiss@jyu.fi Date: gio 1 mag 2025 alle ore 16:16 Subject: International Seminar on SDEs and Related Topics: Emmanuel Gobet May 09 To: gianmario.tessitore@unimib.it
Dear Mario,
we got the info for next week's talk.
Best wishes, Stefan
------------------------------------------------ Friday, May 09,
(12:30 noon London, 1:30 pm Berlin, 2:30 pm Helsinki, 7:30 pm Beijing)
in the *International Seminar on SDEs and Related Topics* in Zoom
https://jyufi.zoom.us/j/61891007917
*Emmanuel Gobet* (CMAP-Ecole Polytechnique, France) https://users.jyu.fi/~chgeiss/posterofPrEGobet.jpg
will speak about
*Numerical approximation of ergodic BSDEs using nonlinear* *Feynman-Kac formulas*
Abstract: We study the numerical approximation of a class of ergodic Backward Stochastic Differential Equations. In order to build our numerical scheme, we put forward a new representation of the PDE solution by using a classical probabilistic representation of the gradient. Then, based on this representation, we propose a fully implementable numerical scheme using a Picard iteration procedure, a grid space discretization and a Monte-Carlo approximation. Up to a limiting technical condition that guarantees the contraction of the Picard procedure, we obtain an upper bound for the numerical error. We also provide some numerical experiments that show the efficiency of this approach for small dimensions.