报告人:袁成桂
报告地点:数学与统计学院615室
报告时间:2016年07月22日星期五08:30-09:30
邀请人:
报告摘要:
In this talk, we are concerned with long-time behavior of Euler-Maruyama schemes associated with regime-switching diffusion processes. The existence and uniqueness of numerical invariant measures are addressed (i) for regime-switching diffusion processes with finite state spaces by the Perron-Frobenius theorem if the ``averaging condition" holds, and, for the case of reversible Markov chain, via the principal eigenvalue approach provided that the principal eigenvalue is positive; (ii) for regime-switching diffusion processes with countable state spaces by means of a finite partition method and an M-Matrix theory. We also reveal that numerical invariant measures converge in the Wasserstein metric to the underlying ones.
主讲人简介:
袁成桂教授于1988年至2004年分别在武汉大学、中南大学、剑桥大学担任助教、讲师、副研究员;2004年至今,任英国斯旺西大学讲师、副教授、教授。袁教授的研究领域包括随机混合系统控制、SDE和SPDE的稳定性、SDE数值分析、金融数学及人口动态等,在国际期刊上发表学术论文80余篇,出版学术专著多部。其分别发表在Journal of Mathematical Analysis and Applications和Automatica 上的两篇文章成为Science Direct数据库中被检索最多次的25篇文章之一。曾在多个国际学术会议上做邀请报告。