Numerical Study on G-Expectation

来源 :The 2nd Quantitative Finance and Risk Management Forum(第二届数量 | 被引量 : 0次 | 上传用户:myjjoey
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  In this talk,we will present some numerical methods for the Gheat equation which is a nonlinear partial differential equation related to the G-Expectation or nonlinear expectation.Numerous numerical experiments will be carried out to show the efficiency,accuracy and stability of the proposed methods.The effect of the boundary conditions is also numerically investigated.Some numerical analysis is given to show the convergence of the numerical solutions to the viscous solutions of the G-Heat equation.This is a joint work with Shige Peng and Lihe Wang.
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