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.