报告题目： Stability analysis of general linear multistep methods for decoupled forward backward stochastic differential equations

报告人：唐晓 博士（南方科技大学）

报告时间：2020年12月28日 9:50—12:30

报告地点：腾讯会议 774 219 769

报告摘要： In this talk, we focus on the stability analysis of a general class of linear multistep methods for decoupled forward backward stochastic differential equations (FBSDEs). The general linear multistep methods we consider contain many well-known linear multistep methods from the ordinary differential equations (ODEs) framework such as Adams, Nystrom, Milne-Simpson and backward differentiation formulas (BDF) methods. Under the classical “root condition”, we prove that the general linear multistep methods are mean-square (zero) stable for the decoupled FBSDEs with generator function related to both y and z. Based on the stability result, we further establish a fundamental convergence theorem.

报告人简介：唐晓博士，现为南方科技大学博士后，合作导师为熊捷教授，2018年在湘潭大学取得计算数学博士学位，研究方向为随机微分方程数值解等，研究成果发表或即将发表在IMA J. Numer. Anal.、Advance Comput Math、BIT等计算数学国际一流刊物。