Stochastic Analysis & Algorithms

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• Ying Zhang (Hong Kong University of Science and Technology (Guangzhou))
• Wednesday 26 June 2024, 14:00-14:50
• External.

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DMLW02 - Summer school on fundamentals and applications of diffusion models

It has been shown by Hutzenthaler et al. (2011) that the explicit schemes of SDEs with super-linearly growing coefficients fail to converge in the strong L^p sense. We will discuss this divergence result and introduce a new class of tamed explicit schemes that address this problem. Specifically, we will focus on the tamed Euler scheme proposed by Sabanis (2013) and provide detailed explanations on how the strong convergence result is obtained for the newly proposed algorithm.

This talk is part of the Isaac Newton Institute Seminar Series series.

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