WEEKLY ACTIVITIES

Avikainen’s estimate and its application to numerical analysis for SDEs
Speaker: Assoc. Prof. Dai Taguchi (Okayama University, Japan)
Thời gian: 14h Thứ 5, ngày 12/05/2022

Link online Zoom: 836 3396 5365

Passcode: 016509

Abstract: For a function of bounded variation $g$ and real valued random variables $X$ and $Y$ with bounded density function, Avikainen proved that a sharp upper bound for the expectation of the error $|g(X)-g(Y)|^{q}$ in terms of the moment of $X-Y$. In this talk, As an application of Avikainen's estimate, we study the Euler--Maruyama scheme for one-dimensional SDEs with irregular diffusion coefficient. We also study a multi-dimensional generalization of Avikainen's estimate which can be applied to multilevel Monte Carlo methods.

Back