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A general class of one-step approximation for index-1 stochastic delay differential-algebraic equations
Author: Release time:2019-10-22 Number of clicks:

Title: A general class of one-step approximation for index-1 stochastic delay differential-algebraic equations

Speaker: Lingling Qin

Affiliation: Huazhong University of Science and Technology

Time: 2019-09-24 16:00-17:00

Venue: Room 203 Lecture Hall

Abstract: In this talk, we develop a class of general one-step discretization methods for solving the index-1 stochastic delay differential-algebraic equations. The existence and uniqueness theorem of strong solutions of index-1 equations is given. A strong convergence criterion of the methods is derived, which is applicable to a series of one-step stochastic numerical methods. Some specific numerical methods, such as the Euler-Maruyama method, stochasticθ-methods, split-stepθ-methods are proposed, and their strong convergence results are given. Numerical experiments further illustrate the theoretical results.



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