报告题目:Accelerated exponential Euler scheme for stochastic heat equation: convergence rate of densities
报告人:陈楚楚 研究员 (中国科学院数学与系统科学研究院)
报告时间:2021年4月28日 10:10-12:30
报告地点:腾讯会议 793684611
报告摘要:In this talk, we study the numerical approximation of the density of the stochastic heat equation driven by space-time white noise 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 show the convergence of the density. The convergence order of the density in uniform convergence topology is shown to be exactly 1/2 in nonlinear drift case and nearly 1 in affine drift case.
报告人简介:陈楚楚博士,2020年国家优秀青年基金获得者,于2015年在中国科学院数学与系统科学研究院获得博士学位,之后在普渡大学等世界知名大学从事博士后研究工作,现任职于中国科学院数学与系统科学研究院。陈楚楚博士的研究方向主要是随机偏微分方程数值解,保结构随机算法等,在随机偏微分方程保结构算法领域做出一系列重要研究成果,论文发表在SIAM J. Numer. Anal., IMA J. Numer. Anal., J. Comput. Phys.等计算数学顶级刊物。欢迎广大师生踊跃参加!