• 唐曉博士學術報告

    發布時間:2020年12月24日 作者:王小捷   消息來源:    閱讀次數:[]

    報告題目: Stability analysis of general linear multistep methods for decoupled forward backward stochastic differential equations

    報告人:唐曉 博士(南方科技大學)

    報告時間:2020年12月28日 9:50—12:30

    報告地點:騰訊會議 774 219 769

    報告摘要: In this talk, we focus on the stability analysis of a general class of linear multistep methods for decoupled forward backward stochastic differential equations (FBSDEs). The general linear multistep methods we consider contain many well-known linear multistep methods from the ordinary differential equations (ODEs) framework such as Adams, Nystrom, Milne-Simpson and backward differentiation formulas (BDF) methods. Under the classical “root condition”, we prove that the general linear multistep methods are mean-square (zero) stable for the decoupled FBSDEs with generator function related to both y and z. Based on the stability result, we further establish a fundamental convergence theorem.

    報告人簡介:唐曉博士,現為南方科技大學博士后,合作導師為熊捷教授,2018年在湘潭大學取得計算數學博士學位,研究方向為隨機微分方程數值解等,研究成果發表或即將發表在IMA J. Numer. Anal.、Advance Comput Math、BIT等計算數學國際一流刊物。

    方向為隨機微分方程數值解等,研究成果發表或即將發表在IMA J. Numer. Anal.、Advance Comput Math、BIT等計算數學國際一流刊物。



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