题目：Fundamental Convergence of Numerical Methods for Stochastic Differential Equations
报告人：Jialin Hong（Chinese Academy of Sciences）
时间：7月20日，11:00-11:40
地点：哈工大活动中心327会议室
摘要：In this talk we review theoretical results on the mean-square convergence of numerical methods for stochastic ordinary differential equations, stochastic delay differential equations, neutral stochastic delay differential equations, jump-diffusion differential equations, neutral stochastic delay differential equations with jump-diffusion, stochastic partial differential equations. These results are called fundamental convergence theorems of numerical methods for stochastic differential equations. In this talk we propose a fundamental convergence theorem of semidiscretisation for stochastic Schroedinger equations in temporal direction. And based on Feynman-Kac type formula on backward stochastic differential equations, we present a fundamental convergence theorem of numerical methods for backward stochastic differential equations, and apply it to the mean-square convergence of numerical schemes for backward stochastic differential equations.
