Some recent results on the numerical approximation for stochastic differential equations with non-Lipschitz coefficients
Speaker: Ngo Hoang Long

Time: 9h30, Tuesday, May 30, 2017
Location: Room 4, Building A14, Institute of Mathematics, 18 Hoang Quoc Viet, Cau Giay, Hanoi
Abstract: We start this talk with a brief introduction to the theory of stochastic differential equations. Then we discuss several approaches to approximate the solution of a stochastic differential equation. Finally we present some recent results on the convergence of the Euler-Maruyama scheme for stochastic differential equations with non-Lipschitz coefficients.

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