Speaker:  Wang xiaojie

Title:  A recent progress on stochastic theta methods for nonlinear SDEs with non-Lipschitz coefficients

Abstract:  In this talk, a recent progress on stochastic theta methods (STMs) will be reported for nonlinear SDEs with non-Lipschitz coefficients. Mean-square convergence rates of STMs for nonlinear SDEs are successfully recorvered in various non-Lipschitz settings. As applications, the considered schemes are also applied to a financial model, with the expected convergence rate identified. Numerical examples are finally provided.

Time: 9:30Am,2/11/2020

Location:Tencent meetingID：140130397