Approximation of SDEs driven by stable processes

主讲人：邓昌松

摘要：We develop an Euler-Maruyama scheme to approximate the invariant measures of SDEs driven by $\alpha$-stable processes. An explicit convergence rate is presented for the Wasserstein-1 distance. We will also discuss the asymptotic behavior of the invariant measure of stable SDE as $\alpha\uparrow 2$. Based on a joint work with Peng Chen, Rene Schilling and Lihu Xu.

主讲人简介：邓昌松，武汉大学教授。主要从事随机分析的研究，已在Stochastic Process. Appl., Adv. in Appl. Probab., Electron. Commun. Probab. 等国际权威概率期刊发表学术论文多篇。

邀请人：吴付科

时间：2023年4月7日（星期五）15:00-16:30