报告人：王小捷（中南大学）

报告人简介：王小捷，中南大学37000cm威尼斯教授，博导，主要研究方向为随机偏微分方程、随机常微分方程数值方法及计算金融等。在随机常、偏微分方程数值算法与理论方面做出一系列研究成果，相关论文发表在SIAM Journal on Numerical Analysis、Mathematics of Computation、SIAM Journal on Scientific Computing、IMA Journal of Numerical Analysis、BIT Numerical Mathematics、Journal of Scientific Computing、Stochastic Processes and their Applications等享有国际学术声誉的计算数学或概率论国际主流刊物。现主持2项国家自然科学基金面上项目，1项湖南省自科杰出青年基金，主持完成1项国家自然科学基金青年项目。

报告题目：A recent progress on stochastic theta methods for nonlinear SDEs with non-Lipschitz coefficients

报告摘要：In this talk, a recent progress on stochastic theta methods (STMs) will be reported for nonlinear SDEs with non-Lipschitz coefficients. Mean-square convergence rates of STMs for nonlinear SDEs are successfully recorvered in various non-Lipschitz settings. As applications, the considered schemes are also applied to a financial model, with the expected convergence rate identified. Numerical examples are finally provided.

报告时间：2020年11月2日（星期一）9:30-11:00

报告地点：腾讯会议ID：140130397