Analysis of numerical methods for SDEs

Tuesday 2 July 2024, 12:30 pm
PhD candidate
M. Wang
Promotor(s)
prof. dr. G.J. Lord
Co-promotor(s)
dr. S. Sonner, dr. X.J. Wang
Location
Aula

This dissertation is divided into two parts. The first part deals with the numerical approximation of Ait-Sahalia interest rate model with and without Poisson jumps. In the second part, the strong convergence of numerical methods for parabolic random partial differential equations (SPDEs) is studied.

Wang Mengchao, born in China in 1994, is currently pursuing a Ph.D. degree with a focus on the convergence analysis of numerical solutions for stochastic differential equations. He began his academic journey in 2019 and continued his studies at Radboud University in 2021, specializing in the complexities of stochastic processes. His research primarily aims to examine the convergence properties of numerical methods applied to stochastic differential equations.