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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：2013年12月28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.