Recent progresses in numerical analysis of SDEs with non-globally Lipschitz coefficients

主讲人：王小捷 中南大学教授

时间：2023年3月28日10：00

地点：腾讯会议 780 312 028

举办单位：数理学院

主讲人介绍：王小捷，中南大学数学与统计学院教授，博士生导师，主要研究方向为随机微分方程数值方法及计算金融等。在随机常、偏微分方程数值算法与理论方面做出一系列研究成果，相关论文发表在SIAM Journal on Numerical Analysis、Mathematics of Computation、SIAM Journal on Scientific Computing、IMA Journal of Numerical Analysis、BIT Numerical Mathematics、Journal of Scientific Computing、Advances in Computational Mathematics、Stochastic Processes and their Applications等计算数学或概率论国际主流刊物，主持多项国家自然科学基金项目。

内容介绍：This talk is devoted to our recent progresses in numerical analysis of SDEs with non-globally Lipschitz coefficients. Both implicit and explicit schemes are considered for SDEs under global monotonicity conditions, with strong convergence rates revealed. Positivity-preserving schemes are also considered for some practical SDE models and the strong approximation error analysis is reported. Finally, we look at numerical analysis of SDEs under non-global monotonicity conditions. This is based on a joint work with Lei Dai and Jiayi Wu.