张中强教授的学术报告

发布时间:2018年08月13日 作者:王小捷   消息来源:    阅读次数:[]

报告题目:Structure-preserving numerical methods for highly nonlinear stochastic differential equations

报告人:Prof. Zhongqiang Zhang,

Worcester Polytechnic Institute

报告时间:2018年8月17号上午9:30-11:30

报告地点:中南大学新校区数学楼一楼145报告厅

报告摘要:Numerical methods are discussed for stochastic differential equations (SDEs) with local Lipschitz coefficients growing at most polynomially at infinity. We first review numerical methods for such nonlinear SDEs and then present our recent work on stability-preserving implicit schemes and explicit numerical schemes including modified forward Euler schemes and modified Milstein schemes.We also discuss some positivity-preserving schemes for SDEs with both local Lipschitz coefficients and Holder coefficients. Numerical comparison among various schemes for nonlinear SDEs is presented.

报告人介绍:张中强教授现工作于美国Worcester Polytechnic Institute,研究方向为数值分析与科学计算,随机偏微分方程和随机常微分方程数值方法,不确定性量化,分数阶微分方程数值解等。张教授研究成果丰硕,出版Springer专著一本,发表学术论文近30篇,其中10余篇发表在SIAM J Numer. Anal., Numerische Mathematik, SIAM J Sci. Comput.等国际顶尖的计算数学学术期刊。



打印】【收藏】 【关闭