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学术报告: The mean-square convergence of numerical methods for stochastic differential equations

 

报告人:洪佳林教授

北京中国科学院计算数学与科学工程计算研究所国家重点实验室

 

报告题目: The mean-square convergence of numerical methods for stochastic differential equations

 

报告时间:20131228日上午10:30

 

报告地点:海韵实验楼108

 

报告摘要:In this talk we review theoretical results on the mean-square convergence of numerical methods for stochastic ordinary differential equations, stochastic delay differential equations, neutral stochastic delay differential equations, jump-diffusion differential equations, neutral stochastic delay differential equations with jump-diffusion, stochastic partial differential equations. These results are called fundamental convergence theorems of numerical methods for stochastic differential equations. In this talk we propose a fundamental convergence theorem of semidiscretisation for stochastic Schroedinger equations in temporal direction. And based on Feynman-Kac type formula on backward stochastic differential equations, we present a fundamental convergence theorem of numerical methods for backward stochastic differential equations, and apply it to the mean-square convergence of numerical schemes for backward stochastic differential equations.