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


主讲人:吴付科 华中科技大学教授


地点:腾讯会议 757 559 342


主讲人介绍:吴付科,华中科技大学教授,数学与统计学院副院长。主要从事随机微分方程及其相关领域研究,2014年获得国家自然科学基金委员会优秀青年基金资助,主要成果发表于SIAM J. App. Math.、SIAM J. Control Optim.、 SIAM J. Numer. Anal.等知名期刊上。

内容介绍: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.