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Speaker: Xu Lihu, Associate Professor, University of Macau
Date: December 2, 2022
Sponsor: Research Center for Mathematics and Interdisciplinary Sciences, Shandong University
In this talk, we will develop an EM scheme to approximate the ergodic measure of the SDE driven by stable process, and obtain a bound for the Wasserstein-1 distance between the ergodic measures of EM scheme and the SDE. We show that this bound is optimal. The method is by a recently developed probability approximation framework and Malliavin calculus. The work is based on the joint work with Peng Chen, Changsong Deng and Rene Schilling.
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