Numerical Methods for Stochastic Differential Equations: part II

发布者:文明办作者:发布时间:2021-07-14浏览次数:10


主讲人:Professor Xuerong Mao,University of Strathclyde


时间:2021年7月18日19:00


地点:腾讯会议 737 3753 2094


举办单位:数理学院


主讲人介绍:英国思克莱德大学(University of Strathclyde)教授,爱丁堡皇家学会(即苏格兰皇家学院)院士。2015年度英国Leverhulme 研究奖,2016 年度英国皇家协会Wolfson 研究功勋奖。


内容介绍:Up to 2002, all positive results on the numerical methods for SDEs were based on  a much more restrictive global Lipschitz assumption (namely both shift and  diffusion coefficients satisfy the global Lipschitz condition). However, the  global Lipschitz assumption rules out most realistic models. In 2002, Higham,  D.J., Mao, X. and Stuart, A.M. (SIAM Journal on Numerical Analysis 40(3) (2002),  1041-1063) were first to study the strong convergence of numerical solutions of  SDEs under a local Lipschitz condition. The field of numerical analysis of SDEs  now has a very active research profile, much of which builds on the techniques  developed in that paper, which has so far attracted www.kxclq.com