一、报告题目

Euler-Maruyama Scheme for the SDE Driven by Stable Process

二、主讲人

徐立虎

三、报告时间

2022年12月02日 19:00-20:00

四、报告地点

Zoom

五、摘要

In this talk, we will develop an EM scheme to approximate the ergodic measure of the SDE driven by stable process, and obtain a bound for the Wasserstein-1 distance between the ergodic measures of EM scheme and the SDE. We show that this bound is optimal. The method is by a recently developed probability approximation framework and Malliavin calculus. The work is based on the joint work with Peng Chen, Changsong Deng and Rene Schilling.

六、主讲人简介

Lihu Xu received his bachelor degree at Shandong University, master degree at Peking University and Ph.D. at Imperial College, he is currently an associate professor at University of Macau. His main research interest lie in stochastic analysis with its applications to stochastic algorithms and statistics, he has published more than 40 paper on international journals such as Annals of Statistics, Probability Theory and Related Fields, Journal of Functional Analysis, Annals of Applied Probability, etc.

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