报告人：毛学荣 教授 (英国Strathclyde大学，爱丁堡皇家学院院士)

报告题目：Review of Truncated Euler-Maruyama Method  

报告摘要：Solving stochastic differential equations (SDEs) numerically, the explicit Euler-Maruyama (EM) schemes are used most frequently under the global Lipschitz conditions for both drift and diffusion coefficients. In contrast, without imposing the global Lipschitz conditions, implicit schemes are often used for SDEs but require additional computational effort; along another line, tamed EM schemes and truncated EM (TEM) schemes have been developed recently.  In this talk, we will review the development of the TEM schemes.  We will briefly recall the original TEM scheme defined by Mao in 2015.  We will then explain how it has been modified to cope with the need in different aspects. We will mainly explain how to define a TEM scheme for the $p$th moment boundedness while to define different TEM schemes for other asymptotic properties of the numerical solutions such as the exponential stability in $p$th moment and stability in distribution. A couple of examples are given for illustration.

报告人简介：毛学荣教授是英国斯克莱德大学数学与统计系教授、英国爱丁堡皇家学院院士，国际知名的随机稳定性和随机控制领域的专家，在本学科领域享有很高的声誉, 为现代随机稳定性领域的奠基人。出版学术专著5部，在国际SCI学术杂志上发表论文200余篇。有10多篇论文进入Science Direct最热门文献（TOP 25 Hottest Articles）。

报告时间：2019年10月29日（星期二）上午10:00-12:00

报告地点：科技楼(南楼)702