Spring 2023 Applied and Computational Mathematics Seminar
Time and Place: Tuesdays 3:05-4:20 pm in Room 0231, Love Building Course: MAP 6939 Scope: The Applied and Computational Math Seminar is series of talks with various topics covering a broad spectrum of not only applied and computational mathematics but also engineering. Researchers outside of the Department of Mathematics and Florida State University, postdocs and senior Ph.D students are also welcomed to share their work. Please contact the organizer if you wish to schedule your talk. For Spring 2023, contact Kyle Gallivan (gallivan"at"math.fsu.edu) |
| Date | Speaker | Title | Affiliation |
| 04/04 | Arash Fahim | Deep Neural Network Solutions for Fully Nonlinear Hamilton-Jacobi-Bellman Equations with Convex Nonlinearity | Department of Mathematics, FSU |
Abstract: In stochastic control, when the intensity of the stochastic term depends on the control, the dynamic programing equation becomes fully nonlinear partial differential equation. We propose two numerical schemes: one based on the corresponding backward stochastic differential equation of second order, which is a probabilistic representation for fully nonlinear partial differential equation, and second based on the maximum principle for the backward stochastic differential equation of second order. Our numerical implementation provides promising results on the convergence of the two approaches. |