Southwest Jiaotong University School of Mathematics

数学系

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英国苏格兰皇家科学院院士毛学荣教授学术报告

来源:   作者:方程与动力系统     日期:2020-11-18 18:00:14   点击数:  

题目: Stochastic Modelling and Monte Carlo Simulations

报告人:毛学荣 英国 斯特拉斯克莱德大学University of Strathclyde教授 博士生导师

摘要: One of the important problems in many branches of science and industry, e.g. engineering, management, finance, social science, is the specification of the stochastic process governing the behaviour of an underlying quantity.   We here use the term {\it underlying quantity\/} to describe any interested object whose value is known at present but is liable to change in the future.  In this talk we will explain how the ordinary differential equations (ODEs) are not enough to model the underlying stochastic quantity and why stochastic differential equations (SDEs) appear naturally. Several well-known SDE models will be presented including the geometric Brownian motion, mean-reverting process, square root process, mean-reverting square root process, theta process, Logistic population model.  We will then compare the ODE models with the SDEs models to show the significant differences. Many Monte Carlo simulations will be used for illustrations.

时间:  1120日(星期15: 30-17: 00

地点:腾讯会议        会议 ID726 224 314

专家简介:毛学荣教授英国苏格兰皇家科学院院士,共发表300余篇学术论文,被引用超过23000次,其中H-index 指标为73i10-index 指标为2082015年获英国利华休姆信托基金研究奖,2016年获英国沃弗森研究功勋奖;2011-20142015-2019年分别获中国教育部海外名师2015年获批长江讲座教授。已出版学术专著五部,其中1997出版且2007再版的《Stochastic Differential Equations and Applications20 年来影响了众多研究者,已是该领域的最好参考书之一(至今在Google 被引4300余次)。发表的学术论文有35 篇次进入Science Direct 最热门文献(TOP 25 Hottest Articles)。

 

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