Chaman Kumar - An explicit first-order approximation of interacting particle system with common noise and non-differentiable drift coefficient
| Dates: | 13 December 2023 |
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| Times: | 15:00 - 16:00 |
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| What is it: | Seminar |
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| Organiser: | Department of Mathematics |
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Chaman Kumar (Indian Institute of Technology Roorkee) will speak at the Probability seminar.
We introduce an explicit first-order (Milstein-type) scheme for the interacting particle system and the associated MV-SDE with common noise. The rate of strong convergence is investigated by enriching the notions of bistability and consistency of the schemes which has been used earlier for standard SDEs. We do not require any derivatives on the drift coefficient in both measure and state component.
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Max Newman Room G.107
Alan Turing Building
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