報告題目：Accelerated Exponential Euler Scheme for Stochastic Heat Equation: Convergence Rate of Densities
報告人：陳楚楚 研究員 中國科學院
報告時間：2021年6月19日 9：00-10：00
報告地點：騰訊會議 會議 ID：230 909 254 會議密碼：0619
校内聯系人：柴世民 chaism@jlu.edu.cn
報告摘要：In this talk, we study the numerical approximation of the density of the stochastic heat equation via the accelerated exponential Euler scheme. The existence and smoothness of the density of the numerical solution are proved by means of Malliavin calculus. Based on a priori estimates of the numerical solution, we propose a test function-independent weak convergence analysis, which is crucial to derive the convergence rate of densities. The convergence rate of densities in uniform convergence topology is shown to be exactly 1/2 in nonlinear drift case and nearly 1 in affine drift case.
報告人簡介：Chuchu Chen is currently a Professor at Institute of Computational Mathematics and Scientific/Engineering Computing (ICMSEC), Academy of Mathematics and Systems Science (AMSS), Chinese Academy of Sciences (CAS). Before joining Chinese Academy of Sciences, she received her PhD degree from AMSS, CAS, and worked as Postdoc at Purdue University and Michigan State University, USA. She is currently engaged in researches on numerical analysis of stochastic partial differential equations, especially on structure-preserving algorithms of stochastic Hamiltonian partial differential equations.
