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报告题目: 平均场随机微分方程的一类高效算法
报 告 人: 郭谦 教授
报告人所在单位: 上海师范大学
报告日期: 2022-11-25
报告时间: 10:00--11 : 00
报告地点: 光华东主楼2001室
   
报告摘要:

In this talk, we present a numerical approach to solve the McKean-Vlasov equations, which are distribution-dependent stochastic differential equations, under some non-globally Lipschitz conditions for both the drift and diffusion coefficients. We establish a propagation of chaos result, based on which the McKean-Vlasov equation is approximated by an interacting particle system. A truncated Euler scheme is then proposed for the interacting particle system allowing for a Khasminskii-type condition on the coefficients. To reduce the computational cost, the random batch approximation proposed in [Jin et al., J. Comput. Phys., 400(1), 2020] is extended to the interacting particle system where the interaction could take place in the diffusion term. An almost half order of convergence is proved in Lp sense. 

11.25.pdf

   
本年度学院报告总序号: 677

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