吴付科教授学术报告

发布时间:2017年12月27日 作者:唐颖   消息来源:业务办    阅读次数:[]

题目:Averaging Principles for Functional Diffusions with Two-time Scales

报告人:吴付科教授(华中科大)

报告时间:2017年12月29号上午10:30

报告地点:数学与统计学院145报告厅

摘要:The recently developed functional Ito formula by Dupire changed the landscape of the study of stochastic functional equations and encouraged a reconsideration of many problems in stochastic functional differential equations. Based on the new development, this work examines functional diffusions with two-time scales in which the slow-varying process include path-dependent functionals and the fast-varying process is a fast-varying (singularly perturbed) diffusion. This paper develops the martingale method and the weak convergence by developing the path-dependent functional Ito formula. It establishes the mixed functional Ito formula and the corresponding martingale representation theorem. By treating the fast-varying process as a random ``noise", under appropriate conditions, it shows that the slow-varying process involving path-dependent functionals converges weakly to a stochastic functional differential equation whose coefficients are averaged out with respect to the invariant measure of the fast-varying component.

报告人简介:吴付科,教授,博士生导师,2003年博士毕业于华中科技大学数学与统计学院。 主要从事随机微分方程以及相关领域的研究,2011年入选教育部新世纪优秀人才支持计划,2012年入选华中科技大学“华中学者”, 2014年获得基金委优秀青年基金资助,2015年获得湖北省自然科学二等奖,2017年获得英国皇家学会"牛顿高级学者"基金, SCI期刊《IET Control Theory & Applications》编委。 近年来,在SIAM J. Appl. Math., SIAM J. Numer. Anal., SIAM J. Control Optim., Numer. Math., J. Differential Equations, Automatica和IEEE TAC等国际权威期刊发表论文80余篇,全部为SCI收录。 共主持4项国家自然科学基金,出版一部专著和一部译著。



打印】【收藏】 【关闭