Speaker: Tan Xiaolu, professor, The Chinese University of Hong Kong

Date: October 11, 2024

Time: 10:00-11:00

Location: Tencent Meeting: 676 773 269

Sponsor: School of Mathematics, Shandong University

Abstract:

Numerical simulation of stochastic differential equations (SDEs) is usually based on the discrete-time schemes, which induces a discretization error in addition to the statistical error. We will discuss a class of unbiased simulation methods of SDEs inspired by the parametrix method, which avoids the discretization error. We will then present how to extend this unbiased simulation technique for a class of SDEs whose coefficient functions are path-dependent.

For more information, please visit:

https://www.view.sdu.edu.cn/info/1020/195245.htm