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Euler-Maruyama scheme for the SDE driven by stable process

 
Title:
Euler-Maruyama scheme for the SDE driven by stable process
Speaker:
徐礼虎,澳门大学
Inviter: 赵国焕 副研究员
Time & Venue:

2022.10.12 15:00 腾讯会议号:171-487-367

Abstract:

In this talk, we will develop an EM scheme to approximate the ergodic measure of the SDE driven by stable process, and obtain a bound for the Wasserstein-1 distance between the ergodic measures of EM scheme and the SDE. We show that this bound is optimal. The method is by a recently developed probability approximation framework and Malliavin calculus. The work is based on the joint work with Peng Chen, Changsong Deng and Rene Schilling. 

Affiliation:  

学术报告中国科学院数学与系统科学研究院应用数学研究所
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