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News

Mini-course: "Backward SDEs and approximation"

Professor Denis Belomestny,  University Duisburg-Essen (Germany), Leading research scientist (HSE)

The course is consist of several parts. 8-11 October 2014 Proffesor Denis Belomestny  gave a first part of lectures on "  Backward SDEs and approximation ".

The video of first 3 lectures will be uploaded on our website soon. 


The following topics will be covered in the course:

  • Introduction into BSDE
  • Discrete time approximations of locally Lipschitz and quadratic backward stochastic differential equations
  • FBSDEs and Malliavin calculus
  • Approximation of discrete BSDE using least-squares regression
  • Empirical regression schemes
  • Multilevel algorithm for the approximation of BSDEs
  • Numerical Solution of BSDE’s using Orthogonal Martingales
  • Picard iteration 
  • Numerical examples