勷勤数学•专家报告

题      目：Unbiased simulation of Path-dependent SDEs

报  告  人：谭小路 副教授  (邀请人：杨舟)

                                     香港中文大学深圳研究院        

时      间：3月15日  15：00-16：00

地     点：数科院西楼二楼会议室

报告人简介:

        Xiaolu Tan is an associate professor at the Chinese University of Hong Kong. Previously, he did his PhD at Ecole Polytechnique in Paris, and then worked as assistant professor at University of Paris Dauphine. His main research interest covers the stochastic optimal control, stochastic numerical method, mathematical finance, etc. Prof. Tan has published journal articles including AP, AAP, Math. Finance, Ann. Inst. Henri Poincaré Probab. Stat, SIAM J. Control Optim. etc.

摘      要：

       We provide an extension of the unbiased simulation method for SDEs in Henry-Labordere et al. [Ann Appl Probab. 27:6 (2017) 1-37] to the path-dependent case. In the setting, both the payoff and the SDE coefficient functions depend on the (weighted) average of the process, so that the expected value is solution to a linear path-dependent PDE. The main idea is to simulate the SDE with constant coefficients on a random discrete time grid and then to correct the error terms with Malliavin weight functionals for the vertical derivatives of the value function.

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