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Numerical Methods for Stochastic Differential Equations: part IV


主講人:Professor Xuerong Mao,University of Strathclyde


地點:騰訊會議 737 3753 2094


內容介紹:This summer SDE course will begin with Higham et al 2002 but concentrate on the  truncated Euler-Maruyama. The course will not only discuss the finite-time  strong convergence and its rates but also the long-term properties including  stability and boundedness. As an important application, the course will develop  new numercial schemes for the well-known stochastic Lotka--Volterra model for  interacting multi-species. We will show how to modify the truncated  Euler-Maruyama to establish a new positive preserving truncated EM (PPTEM).