Academy of Mathematics and Systems Science, CAS Colloquia & Seminars
Speaker:
Assistant Professor Qiang Ma, Harbin Institute of Technology
Inviter:
唐贻发
Title:
Projected explicit It\^{o}-Taylor methods for stochastic differential equations
Time & Venue:
2017.12.21 19:30-20:30 N902
Abstract:
Although numerical methods of stochastic differential equations (SDEs) with coefficients of locally Lipschitz and polynomial growth have been discussed by some authors, there is little work on the high strong order numerical methods. In this talk, the mean-square convergence of general projected explicit It\^{o}-Taylor methods is considered. It is shown that projected methods based on order \gamma explicit It\^{o}-Taylor (PIT) methods are stochastically C-stable and stochastically B-consistent with order \gamma. Therefore, PIT methods owning appropriate parameters hold the same high mean-square convergence order as It\^{o}-Taylor methods. Finally, two numerical experiments are presented to show the effectiveness of the theoretical results. (受交叉课题资助)