广州数学大讲坛第十期
第九十五讲——天津工业大学李晓月教授学术报告
题目：Strong convergence of multiscale truncated Euler-Maruyama method for super-linear slow-fast stochastic differential equations
时间：2023年11月13日（星期一）下午4:00——5:30
地点：理学实验楼312
报告人：李晓月教授
摘要：This work focuses on solving super-linear stochastic differential equations (SDEs) involving different time scales numerically. Taking advantages of being explicit and easily implementable, a multiscale truncated Euler-Maruyama scheme is proposed for slow-fast SDEs with local Lipschitz coefficients. By virtue of the averaging principle, the strong convergence of its numerical solutions to the exact ones in pth moment is obtained. Furthermore, under mild conditions on the coefficients, the corresponding strong error estimate is also provided. Finally, two examples and some numerical simulations are given to verify the theoretical results.
报告人简介：
李晓月，天津工业大学数学科学学院教授，博士生导师，美国数学会评论员。长期从事随机微分方程稳定性理论、数值逼近的研究, 在《SIAM J. Numer. Anal.》、 《SIAM J. Appl. Math.》、《Math. Comp.》 等国际期刊上发表SCI论文40余篇。主持国家自然科学基金面上项目3项、国家自然科学基金青年项目1项和省部级项目多项，参与国家重点研发计划项目的研究工作。
