Speaker: Prof. Song Wang （汪崧教授）

Time: 11:00-12:00, 03 January 2025 (Friday) (Beijing time)

Venue: 华信书院，CC126

Abstract

In this talk I will present some of our recent advances in the numerical solution of linear and nonlinear of complementarity problems in both infinite and finite dimensions arising in pricing various financial options tradable in financial markets, as well as in conventional engineering. These methods include numerical schemes for the discretization of various types of infinite-dimensional complementarity problems or HJB equations and penalty methods for the discretized problems. However, in this talk,we will concentrate on numerical methods developed by us for discretized linear and nonlinear complementarity systems and theoretical results on the rates of convergence of these methods. We will present computational results using non-trivial test problems to support the theoretical findings.

About Prof. Wang

Professor Song Wang received a B.Sc. degree from Wuhan University of Hydraulic and Electric Engineering (now Wuhan University) and a Ph.D. degree in Numerical Analysis from Trinity College Dublin, Ireland.He was with a Dublin-based hi-tech company -Tritech Ltd.,The University of New South Wales, Curtin University of Technology and The University of Western Australia where was promoted to Professor. He moved to Curtin University to take up the position of Head of Department of Mathematics & Statistics in 2014, where he is currently holding a professor in applied mathematics. Prof, Wang's research interests include numerical analysis, scientific computations & optimal control, and computational finance in which he has published many papers mostly in well-established international journals and gained his international reputation for various advanced numerical schemes. He has supervised and cosupervised over 20 PhDs to completion and delivered plenary and keynote talks at various conferences and workshops. His research has been supported by government organizations and industries, such as Australian Research Council, Australian Defense Science & Organization and U.S. Airforce Research Organization. He was/has been an Editor-in-Chief of three international journals and a member of editorial boards of several other internationa journals.