Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

The curse of dimensionality is an obstacle to the computation of numerical solutions for PDE in high dimensions. In the setting of free boundary problems, the high number of degrees of freedom prevents us from representing a general boundary in the computer. Therefore, it becomes natural to specify a parametric form for the boundary and design algorithms to find the optimal parameter.To carry out this optimization one must be able to estimate the sensitivity of the solution with respect to the boundary parameters. In this talk I present an efficient Monte Carlo estimator for this sensitivity, based on simulating both the stopping time and the delta at the boundary accurately.

Speaker: Jose Alcala, New York University

Slides: (TBA)