报告题目：Random walk numerical scheme for the steady-state of stochastic differential equations

报告人：祖建，东北师范大学副教授

主持人：陈锋

时 间：2025年11月6日16：00

地 点：知行楼A区401

主办单位：长春大学数学与统计学院

摘要：The continuous-time random walk (CTRW) scheme is a time- continuous and space discretization method for obtaining the numerical solution of stochastic differential equations. Compared with the traditional time-discretization scheme, it has the advantages of numerical stability and can alleviate the curse of dimensionality. This talk proposes an improved version of the CTRW scheme for the numerical solution of SDEs. By compensating for the artificial diffusion caused by the Poisson approximation of the drift term of the SDE, the improved CTRW scheme performs significantly better in the weak noise case, especially in approximating the invariant probability measure. Numerical studies show that the improved CTRW scheme is more accurate than the existing one but takes less computation time. In addition, it has better accuracy in terms of the mean holding time. We also modify the hybrid Fokker-Planck solver proposed for the CTRW scheme to compute the invariant measure.

报告人简介：祖建，东北师范大学数学与统计学院副教授，应用数学系主任，国家天元数学东北中心优秀青年学者（2025）。本、硕、博均毕业于吉林大学数学学院，为美国佐治亚理工学院联合培养博士研究生，美国麻省大学访问学者，在动力系统和相关的深度学习理论领域做出一些工作，文章发表在ACHA、IEEE TSIPN、CMS、CNSNS、PRR、PRE等学术期刊。