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Academic Report

DATE:2019-10-22 10:07   NUM:

Title: The Truncated Milstein method for stochastic differential equations with commutative noise

 

Reporter:Prof. Xuerong Mao (University of Strathclyde, UK)

    

Time:Oct. 29, PM 15:00-16:00, 2019

Location: 309,Teaching Building 9

  

Abstract: The numerical solutions of stochastic differential delay equations (SDDEs)under the generalized Khasminskii-type condition were discussed by Mao (2011)and the theory there showed that the Truncated Milstein (TM) numerical solutions converge to the true solutions in probability. However, there is so far no result on the strong convergence (namely in Lp) of the numerical solutions for the SDDEs under this generalized condition. In this talk, we will use the TM method developed by Mao (2015) to study the strong convergence of the numerical solutions for the SDDEs under the generalized Khasminskii-type condition.

  

  

The brief introduction to the reporter: Xuerong Mao is a professor in the Department of Mathematics and Statistics at the University of Strathclyde, UK. He is a Fellow of the Royal Society of Edinburgh (Scottish Academy). He is also a Yangtze River Professor. Recently he receives the Royal Society Wolfson Research Merit Award. He is a world leading expert and has established high reputation in the areas of stochastic stability and control. He is a founder of modern stochastic stability. He is good at stochastic analysis and has made significant contributions to stability and control. The methods and techniques established by him have been very much welcome and used by many researchers. For example, his theory on the stabilization by noise has influenced many researchers; he initiated the numerical analysis of SDEs under the local Lipschitz condition; he made outstanding contributions to stochastic population systems; he established the LaSalle principle for SDEs and investigated the hybrid SDEs systematically. His books and papers have been studied, used and cited by many authors. For example, his book “Stochastic Differential Equations and Their Applications (the 2nd ed.), Elsevier, 2007” has more than 14000 谷歌 Scholar citations.

  

Emcee:Prof. Junhao Hu, School of Mathematics & statistics,   South-Central University for Nationalities

  

 

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