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Numerical stationary distributions of stochastic differential equations

报告题目:Numerical stationary distributions of stochastic differential equations

报告时间:4215:00-16:00
报告地点:红瓦楼726

报告人简介:刘暐副研究员博士毕业于英国思克莱德大学(University of Strathclyde),之后在英国拉夫堡大学(Loughborough University)从事博士后工作,2015年加入上海师范大学。主要研究兴趣包括随机微分方程的数值方法和相关控制问题、随机偏微分方程,研究成果发表于Annals of Probability, SIAM Journal on Control and Optimization, BIT Numerical Mathematics等期刊。2016年入选上海市“浦江人才计划”,上海市“晨光计划”。主持国家自然科学基金青年基金一项。

报告摘要:The existing results on numerical methods for stationary distributions of  stochastic differential equations (SDEs) are reviewed. The recent works  on the Milstein method (Weng and Liu 2019) and the stochastic theta  method (Jiang, Weng and Liu 2020) for stationary distributions of SDEs  are discussed. Numerical simulations are presented to demonstrate the  theoretical results.
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