报告题目：Super-convergence analysis on exponential integrator for stochastic heat equation driven by additive fractional Brownian motion

报告人：黄楚荧博士（福建师范大学）

报告时间：2020年12月1日 16:00—18:00

报告地点：腾讯会议 205 963 574

报告摘要：The fractional Brownian motion (fBm) appears in a large number of stochastic models, but the related numerical study is not well developed. In this talk, we will begin with the definition of fBm and associated Malliavin calculus. Then we present references about numerical researches for SDEs and SPDEs driven by additive fBms. In the third and fourth part, we show the regularity analysis and strong convergence analysis on a full discretization for the stochastic heat equation driven by fBm with Hurst parameter H>1/2. By utilizing the Malliavin calculus, we overcome the difficulty that the fractional Brownian motion is neither a Markov process nor a semi-martingale and that its increments are not independent, and then obtain the super-convergence result in temporal direction for the exponential integrator

报告人简介：黄楚荧，福建师范大学数学与信息学院讲师，2015年在北京师范大学取得学士学位，2020年在中国科学院数学与系统科学研究院取得博士学位。研究方向为随机微分方程数值解，包括分数阶布朗运动/粗路径驱动的随机微分方程、随机保结构算法等，研究成果发表或即将发表在IMA Journal of Numerical Analysis、Stochastic Processes and their Applications、Journal of Differential Equations等国际一流刊物。