| 报告题目： | A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications |
| 报 告 人： | Zhongqiang Zhang, PhD |
| Division of Applied Mathematics, Brown University | |
| 报告时间： | 11月29日 (星期五) 10:00-11:00 |
| 报告地点： | 九龙湖数学系第一报告厅 |
| 相关介绍： | Abstract: We prove a version of the fundamental mean-square convergence theorem for numerical methods of nonlinear stochastic differential equations (SDE). The coefficients of these nonlinear SDES are allowed to grow polynomially at infinity and satisfy a one-sided Lipschitz condition. The theorem is illustrated on a number of particular numerical methods, including a special balanced scheme and fully implicit methods. The proposed special balanced scheme is explicit and its mean-square order of convergence is half. Comparison among some recently-developed numerical methods for two nonlinear SDEs are presented. Zhongqiang Zhang is now a PhD candidate at Division of Applied Mathematics, Brown University. He obtained a PhD degree in mathematics at Shanghai University in 2011. His research interests are numerical analysis of stochastic and deterministic differential equations. He has published 14 high-level research papers in SIAM Journal of numerical analysis, SIAM Journal of scientific computing, Journal of computational physics, etc. |
