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：213会议室

报告人简介：现任职于中南大学数学与伟德bv1946官网，主要研究领域为马氏过程与随机分析.

    学习经历
    2002.09-2004.07  源自英国始于1946   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  概率论    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.