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Crash Course in Stochastic Differential Equations

演讲者

宋丛威

时间

2025年07月11日 14:30 至 15:30

地点

A3-2a-302

线上

Zoom 482 240 1589 (BIMSA)

摘要

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

演讲者介绍

宋丛威于2011年在浙江工业大学取得应用数学硕士学位，于2014年在浙江大学数学系取得基础数学博士学位，2014-2021年在浙江工业大学之江学院任讲师，2021至今任BIMSA助理研究员。主要研究方向：小波分析，调和分析，机器学习。