Euler-Maruyama scheme for the SDE driven by stable process
时间：2022-09-26
阅读量：802次
- 演讲人： 徐礼虎（澳门大学）
- 时间：2022年10月15日 周六上午10:30
- 地点：腾讯会议 ID：481-648-612
- 主办单位：浙江大学数据科学研究中心
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.
演讲人简介：徐礼虎， 澳门大学副教授 ，博士毕业于帝国理工学院，现为澳门大学副教授，主要研究方向为随机分析，极限定理，斯坦因方法等。目前在Annals of Statistics, Probability Theory and Related Fields, Annals of Applied Probability, Bernoulli, Journal of Functional Analysis, Stochastic Processes and Their Applications等杂志发表40余篇论文。
联系人：苏中根（suzhonggen@zju.edu.cn）