报告题目：Weak convergence of path-dependent SDEs with irregular coefficients

报告人：鲍建海 副教授

报告摘要：In this talk we develop via Girsanov's transformation a perturbation argument to investigate weak convergence of Euler-Maruyama (EM) scheme for path-dependent SDEs with  Holder continuous drifts. This approach is available to other scenarios, e.g., truncated EM schemes for non-degenerate SDEs with finite memory or infinite memory. Also, such a trick can be applied to study weak convergence  of truncated EM scheme for a range of stochastic Hamiltonian systems with irregular coefficients and with memory. Moreover, the weak convergence of path-dependent SDEs under integrability condition is investigated by establishing, via the dimension-free Harnack inequality, exponential integrability of irregular drifts w.r.t. the invariant probability measure constructed explicitly in advance. This is a joint work with Professor Jinghai Shao.

报告时间：4月17日 10:20-11:20

报告地点：统计学院213会议室

报告人简介：现任职于中南大学数学与统计学院，主要研究领域为马氏过程与随机分析.

学习经历
2002.09-2004.07  广发·体育,广发(中国)    应用数学     本科   学士学位

2004.09-2007.03  中南大学       概率论    硕士研究生    硕士学位
2008.09-2011.09  中南大学       概率论     博士研究生
2009.10-2013.04   Swansea University 概率    博士研究生   博士学位
工作经历
2012.09-2013.08   Wayne state University    Research Fellow
2017.01-2019.12   Swansea University       postdoctor
2013.09-至今     中南大学

先后在Stoch. Proc. Appl.，Bernoulli, Electron. J. Probab., J. Theoret. Probab., Potential Anal., SIAM J. Control Optim., SIAM J. Math. Appl.， IME等期刊上发表多篇学术论文.