主講人：王小捷 中南大學(xué)教授

時(shí)間：2023年3月28日10：00

地點(diǎn)：騰訊會(huì)議 780 312 028

舉辦單位：數(shù)理學(xué)院

主講人介紹：王小捷，中南大學(xué)數(shù)學(xué)與統(tǒng)計(jì)學(xué)院教授，博士生導(dǎo)師，主要研究方向?yàn)殡S機(jī)微分方程數(shù)值方法及計(jì)算金融等。在隨機(jī)常、偏微分方程數(shù)值算法與理論方面做出一系列研究成果，相關(guān)論文發(fā)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等計(jì)算數(shù)學(xué)或概率論國(guó)際主流刊物，主持多項(xiàng)國(guó)家自然科學(xué)基金項(xiàng)目。

內(nèi)容介紹：This talk is devoted to our recent progresses in numerical analysis of SDEs with non-globally Lipschitz coe?icients. 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.