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BEGIN:VEVENT
DTSTAMP:20231127T130432
DTSTART;TZID=America/Detroit:20231206T160000
DTEND;TZID=America/Detroit:20231206T170000
SUMMARY:Workshop / Seminar:Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems.
DESCRIPTION:The optimal stopping problem is one of the core problems in financial markets\, with broad appli- cations such as pricing American and Bermudan options. The deep BSDE method [Han\, Jentzen and E\, PNAS\, 115(34):8505-8510\, 2018] has shown great power in solving high-dimensional forward- backward stochastic differential equations (FBSDEs)\, and in- spired many applications. However\, the method solves backward stochastic differential equations (BSDEs) in a forward manner\, which can not be used for optimal stopping prob- lems that in general require running BSDE backwardly. To overcome this difficulty\, a recent paper [Wang\, Chen\, Sudjianto\, Liu and Shen\, arXiv:1807.06622\, 2018] proposed the back- ward deep BSDE method to solve the optimal stopping problem. In this paper\, we provide the rigorous theory for the backward deep BSDE method. Specifically\, 1. We derive the a posteriori error estimation\, i.e.\, the error of the numerical solution can be bounded by the training loss function\; and\; 2. We give an upper bound of the loss function\, which can be suffi- ciently small subject to universal approximations. We give two numerical examples\, which present consistent performance with the proved theory. This is a joint work with C.Gao\, S.Gao and R.Hu.
UID:115524-21834953@events.umich.edu
URL:https://events.umich.edu/event/115524
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Mathematics
LOCATION:Off Campus Location
CONTACT:
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BEGIN:VEVENT
DTSTAMP:20231206T152024
DTSTART;TZID=America/Detroit:20231206T160000
DTEND;TZID=America/Detroit:20231206T180000
SUMMARY:Workshop / Seminar:F23 ALA 174 Section 002 (Wednesday)
DESCRIPTION:
UID:114350-21834364@events.umich.edu
URL:https://events.umich.edu/event/114350
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Sessions
LOCATION:
CONTACT:
END:VEVENT
BEGIN:VEVENT
DTSTAMP:20231221T123121
DTSTART;TZID=America/Detroit:20231206T160000
DTEND;TZID=America/Detroit:20231206T170000
SUMMARY:Careers / Jobs:Generation Teach Teaching Fellowship Informational Session
DESCRIPTION:During the Teaching Fellowship Informational session\, we willdiscuss details of the fellowship\, how to apply\, and the benefits of joining.
UID:115673-21835226@events.umich.edu
URL:https://events.umich.edu/event/115673
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:
LOCATION:
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