【10月17日】Review of Truncated Euler-Maruyama Method

2019-10-10

时间:2019年10月17日(周四) 13:00

地点:理学院454

主讲人:Xuerong Mao

国籍:英国

使用语言:英文

主讲人简介:Xuerong Mao (毛学荣),英国Strathclyde大学数学与统计系教授,苏格兰皇家学会院士,教育部海外名师,教育部长江讲座教授,东华大学兼职特聘教授

活动内容摘要:

Solving stochastic differential equations (SDEs) numerically, theexplicit Euler-Maruyama  (EM) schemes are used most frequently  under  the global Lipschitz conditions for both drift and diffusion coefficients. In contrast,without imposing the global Lipschitz conditions, implicit schemes are often used  for SDEs but require additional computational effort; along another line,tamed EM  schemes and truncated EM (TEM) schemes  have been developed recently.  In this talk, we will review the development of the TEM schemes.  We will briefly recall the original TEM scheme defined by Mao in 2015.  We will then explain how it has been modified to cope with the need in different aspects. We will mainly explain how to define a TEM scheme for the pth moment boundedness while to define different TEM schemes for other asymptotic properties of the numerical solutions such as the exponential stability in pth moment and stability in distribution. A couple of examples are given for illustration.

主持人:胡良剑