应用数学所
学术报告


浏览次数:

 
Speaker:

张少钦 副教授,中央财经大学统计与数学学院

Inviter: 罗德军 博士
Title:
Strong and weak convergence rate of EM algorithm for SDEs with low regular drifts
Time & Venue:

2020.11.15 15:00 腾讯会议ID:ID:509 166 968

Abstract:

In this talk, we shall investigate the strong and weak convergence rate of Euler-Maruyama's approximation for stochastic differential equations with low regularity drifts. For the strong convergence rate, by employing Gaussian type estimate of heat kernel, we establish Krylov's estimate and Khasminskii's estimate for EM algorithm. Explicit convergence rates are obtained by taking Zvonkin's transformation into account. The weak convergence rate is obtained by using Girsanov's transformation for EM algorithm. In both cases, drifts satisfy an integrability condition including discontinuous functions which can be non-piecewise continuous.

Affiliation:  

学术报告中国科学院数学与系统科学研究院应用数学研究所
地址 北京市海淀区中关村东路55号 思源楼6-7层 南楼5-6、8层 100190
?2000-2013 京ICP备05058656号