洪佳林研究员学术报告

发布时间:2014年06月06日 作者:   消息来源:    阅读次数:[]

题目:Fundamental Convergence Theorems of Numerical Methods for Stochastic Differential Equations   

报告人:洪佳林 研究员 (中国科学院数学与系统科学研究院副院长,博士生导师)   

时间:6月9日(星期一)下午4点   

地点:数学楼一楼小报告厅   

内容摘要: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.   



打印】【收藏】 【关闭