Crash Course in Stochastic Differential Equations
Speaker
Time
Friday, July 11, 2025 2:30 PM - 3:30 PM
Venue
A3-2a-302
Online
Zoom 482 240 1589
(BIMSA)
Abstract
Stochastic Differential Equations (SDEs) bridge the gap between deterministic dynamics and randomness, serving as a powerful framework in fields like finance, physics, and machine learning. This report summarizes key insights from studying SDEs. It covers the foundational concepts of stochastic processes, the construction of stochastic integrals, the formulation and properties of SDEs, numerical approximation methods, and finally explores the intrinsic links between SDEs and localization methods. By integrating theoretical rigor with practical relevance, this report aims to provide a structured understanding of SDEs and their broader connections in modern applied mathematics.
Keywords: Stochastic Processes; Itô Integral; Stochastic Differential Equations; forward/backward Kolmogorov Equations; Numerical Methods; Localization Methods
Speaker Intro
Congwei Song received the master degree in applied mathematics from the Institute of Science in Zhejiang University of Technology, and the Ph.D. degree in basic mathematics from the Department of Mathematics, Zhejiang University, worked in Zhijiang College of Zhejiang University of Technology as an assistant from 2014 to 2021, from 2021 on, worked in BIMSA as asistant researcher. His research interests include machine learning, as well as wavelet analysis and harmonic analysis.