Asymptotic error distribution for the Euler scheme of SDDE with locally Lipschitz coefficients

主講人：吳付科 華中科技大學教授

時間：2023年12月14日15：00

地點：騰訊會議 757 559 342

舉辦單位：數(shù)理學院

主講人介紹：吳付科，華中科技大學教授，數(shù)學與統(tǒng)計學院副院長。主要從事隨機微分方程及其相關(guān)領(lǐng)域研究，2014年獲得國家自然科學基金委員會優(yōu)秀青年基金資助，主要成果發(fā)表于SIAM J. App. Math.、SIAM J. Control Optim.、 SIAM J. Numer. Anal.等知名期刊上。

內(nèi)容介紹：This paper focuses on the Euler schemes for stochastic delay differential equations (SDDEs) with locally Lipschitz coefficients. The convergence in probability of two explicit Euler schemes and the asymptotic error distribution of the normalized error process are established. By the results and methods established, this paper also examines the normalized error process for a class of special stochastic degenerate system. When the delay is removed, the convergence rate of the asymptotic error distribution is also obtained by formulation of the Cauchy problem, which is very novel and has been noted in previous literature.