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SUMMARY:Stochastic Analysis &amp\; Algorithms - Ying Zhang (Hong Kong Univ
 ersity of Science and Technology (Guangzhou))
DTSTART:20240626T130000Z
DTEND:20240626T135000Z
UID:TALK218089@talks.cam.ac.uk
DESCRIPTION:It has been shown by Hutzenthaler et al. (2011) that the expli
 cit schemes of SDEs with super-linearly growing coefficients fail to conve
 rge in the strong L^p sense. We will discuss this divergence result and in
 troduce a new class of tamed explicit schemes that address this problem. S
 pecifically\, we will focus on the tamed Euler scheme proposed by Sabanis 
 (2013) and provide detailed explanations on how the strong convergence res
 ult is obtained for the newly proposed algorithm.
LOCATION:External
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