本文印刷
全画面プリント
東京確率論セミナー
過去の記録 ～09/16｜次回の予定｜今後の予定 09/17～
| 開催情報 | 月曜日 16:00～17:30 数理科学研究科棟(駒場) 126号室 |
|---|---|
| 担当者 | 佐々田槙子、中島秀太（慶應義塾大学）、星野壮登（東京科学大学）、蛯名真久（東京科学大学） |
| セミナーURL | https://sites.google.com/view/tokyo-probability-seminar23/ |
2026年10月05日(月)
16:50-18:20 数理科学研究科棟(駒場) 122号室
教室は１２２です。今日はTea Time はありません。
田口 大 氏 (関西大学)
Euler–Maruyama scheme with unbounded Hölder drift
教室は１２２です。今日はTea Time はありません。
田口 大 氏 (関西大学)
Euler–Maruyama scheme with unbounded Hölder drift
[ 講演概要 ]
In this talk, we establish the strong rate of convergence of the Euler--Maruyama scheme for multidimensional stochastic differential equations with unbounded, uniformly locally Hölder continuous drift and multiplicative noise. Our approach relies on the Itô--Tanaka trick (Zvonkin-type transformation) adapted to unbounded drift. Furthermore, in order to apply the stochastic sewing lemma, we employ heat kernel estimates for the transition density of the Euler--Maruyama scheme. This talk is based on joint work with Tsukasa Moritoki (Okayama university).
In this talk, we establish the strong rate of convergence of the Euler--Maruyama scheme for multidimensional stochastic differential equations with unbounded, uniformly locally Hölder continuous drift and multiplicative noise. Our approach relies on the Itô--Tanaka trick (Zvonkin-type transformation) adapted to unbounded drift. Furthermore, in order to apply the stochastic sewing lemma, we employ heat kernel estimates for the transition density of the Euler--Maruyama scheme. This talk is based on joint work with Tsukasa Moritoki (Okayama university).
