Euler-Maruyama scheme for the SDE driven by stable process
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Title: |
Euler-Maruyama scheme for the SDE driven by stable process |
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Speaker: |
徐礼虎，澳门大学 |
| Inviter: |
赵国焕 副研究员 |
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Time & Venue: |
2022.10.12 15:00 腾讯会议号：171-487-367 |
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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. |
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