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。