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Preserving exponential mean-square stability in the simulation of hybrid SDEs

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Abstract:
Positive results are derived concerning the long time dynamics of numerical simulations of stochastic differential equation systems with Markovian switching. Euler-Maruyama and implicit theta-method discretizations are shown.

Type of Seminar:
Public Seminar
Speaker:
Prof. Chenggui Yuan
University of Wales Swansea
Date/Time:
Jun 13, 2007   17:15
Location:

ETH Zentrum, Gloriastrasse 35, Building ETZ, Room E 6
Contact Person:

Prof. John Lygeros
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Biographical Sketch:
Dr Chenggui Yuan received the BSc degree from Mathematic Department of Central China Normal University, Wuhan, China in 1985; MSc degree from Mathematic Department of Beijing Normal University, Beijing, China in 1988; PhD degree from Research Department of Central South University, Changsha, China in 1994 and was then promoted to Associate Professor at Central South University in 1996. In 2000-2003 as a research student, he studied at the Department of Statistics and Modelling Science, University of Strathclyde to get his second PhD. He was a research associate of Department of the Engineering, University of Cambridge in 2003-2004. He is now a Lecturer of Department of Mathematics, University of Wales Swansea. His research interests are: Hybrid systems; Markov processes; Mathematical Finance; Stochastic Analysis; Stochastic control.