一、报告题目

Explicit Numerical Approximations for Stochastic Differential Equations in Finite and Infinite Horizons

二、主讲人

李晓月

三、报告时间

2021年9月29日 19:00

四、报告地点

腾讯会议 ID ：488 2330 4823

五、摘要

Solving stochastic differential equations (SDEs) numerically, explicit Euler-Maruyama (EM) schemes are used most frequently under 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 schemes have been developed recently. Taking advantages of being explicit and easily implementable, truncated EM schemes are proposed in this paper. Convergence of the numerical algorithms is studied, and pth moment boundedness is obtained. Furthermore, asymptotic properties of the numerical solutions such as the exponential stability in pth moment and stability in distribution are examined. Several examples are given to illustrate our findings.

六、主讲人简介

李晓月，东北师范大学数学与统计学院教授，博士生导师。长期从事随机微分方程稳定性理论、应用及数值逼近的研究。 发表研究论文40余篇，单篇引用200余次，部分成果发表在SIAM J. Numer. Anal.、 SIAM J. Appl. Math.、SIAM J. Control Optim.、J. Differential Equations 等学术期刊上。主持国家自然科学基金项目和省部级项目多项，参与国家重点研发计划的研究工作。

七、主办单位

非线性期望前沿科学中心

数学与交叉科学研究中心