主講人：李曉月 東北師范大學(xué)教授

時(shí)間：2022年12月6日14：00

地點(diǎn)：騰訊會(huì)議 539 449 081

舉辦單位：數(shù)理學(xué)院

主講人介紹：李曉月，東北師范大學(xué)數(shù)學(xué)與統(tǒng)計(jì)學(xué)院教授，博士生導(dǎo)師，美國(guó)數(shù)學(xué)會(huì)評(píng)論員。長(zhǎng)期從事隨機(jī)微分方程穩(wěn)定性理論、應(yīng)用及數(shù)值逼近的研究, 在《SIAM J. Numer. Anal.》、 《SIAM J. Appl. Math.》、 《J. Differential Equations》、 《SIAM J. Control Optim.》、 《Math. Comp.》等國(guó)際高水平期刊上發(fā)表SCI論文30余篇。主持國(guó)家自然科學(xué)基金面上項(xiàng)目以及省部級(jí)項(xiàng)目多項(xiàng)。

內(nèi)容介紹：Although some implicit numerical procedures have been developed to treat high nonlinearity, the question whether one can use explicit schemes to achieve convergence rate similar to that of Milstein's procedure remained open. This brings us to the current work that focuses on numerical solutions of stochastic differential equations using explicit schemes. Our main goals are to obtain order one convergence in the second moment in a finite-time interval. In contrast to the implicit schemes, explicit schemes are advantageous, easily implementable, and computationally less intensive. To overcome the difficulties due to super-linear growth of the coefficients, a truncation device is used in our algorithm. In addition to reaching aforementioned goals in the analysis part, numerical examples are provided to demonstrate our results.