报告题目:Convergence rate of Euler-Maruyama scheme to its invariant probability measure under total variation distance
报 告 人:叶印娜助理教授 (西交利物浦大学)
报告时间:4月26日(周六)14:00- 15:00
腾讯会议:975-334-666
报告摘要:This article shows the geometric decay rate of Euler-Maruyama (EM) scheme for SDE toward its invariant probability measure under total variation (TV) distance. Firstly, the existence and uniqueness of invariant probability measure and the uniform geometric ergodicity of the chain are studied through introduction of non-atomic Markov chains. Secondly, equivalent conditions for uniform geometric ergodicity of the chain are discovered, by constructing a split Markov chain based on the original EM scheme. It turns out that this convergence rate is independent with the step size under TV distance.
报告人简介:Dr. Yinna Ye, Assistant Professor, Department of Applied Mathematics, School of Mathematics and Physics, Xi’an Jiaotong-Liverpool University (XJTLU). She received her Ph.D in Mathematics from University of Tours (UoT), France, in 2011; M.Sc. and B.Sc. in Mathematics and Applications from University of South-Brittany (UBS), France, in 2006 and 2004 respectively. Before she joined XJTLU 2013, she was appointed as research and teaching assistant (ATER in French) in UoT and UBS. Her research interests lie in the area of probability limit theorems for the following models: (1) Markov chains, (2) branching processes in random environment, and (3) branching random walks in random environment.。