The Truncated Euler-Maruyama Method for Stochastic Differential Delay Equations

发布日期: 2017-10-23  作者:    浏览次数: 10 


题  目:The Truncated Euler-Maruyama Method for Stochastic Differential Delay Equations
报告人:毛学荣教授

单  位:Department of Mathematics and Statistics, University of Strathclyde


摘要: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 Euler-Maruyama (EM) 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 paper, we will use the truncated EM method to study the strong convergence of the numerical solutions for the SDDEs under the generalized Khasminskii-type condition.


报告人简介:毛学荣教授是我校特聘教授、英国斯特拉斯克莱德(Strathclyde)大学数学与统计系教授、英国爱丁堡皇家学院(苏格兰科学院)院士、教育部“长江学者讲座教授”。他提出的随机Razumikhin方法和随机LaSalle原理为现代随机稳定性分析奠定了理论基础,他也是非线性随机微分方程数值稳定性分析和非线性系统随机镇定理论的开创者。最近毛学荣教授获得英国沃尔夫森研究功勋奖,该奖由英国皇家学会、沃尔夫森基金会和英国科学技术部共同出资,旨在支持英国大学吸引和留住具有突出成就或潜力的科学家。



时间:2017.11.03 上午10:00

地点:3号楼3楼报告厅(332室)




 
  版权所有2009 ©  请勿转载和建立镜像© © 违者依法必究© © 上海师范大学数理学院