报告题目: Stochastic Modelling and Monte Carlo Simulations

报告专家: 毛学荣（英国斯克莱德大学 教授）

报告时间: 2019年10月30日（周三）下午14:00-15:30

报告地点: 东校区8教406

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摘要：One of the important problems in many branches of science and industry, e.g. engineering, management, finance, social science, is the specificationof the stochastic process governing the behaviour of an underlying quantity. We here use the term 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) arenot 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.

专家简介：毛学荣教授是英国斯克莱德大学数学与统计系教授、英国爱丁堡皇家学院院士，福建省“外专bai人计划”获得者，“长江讲座教授”获得者，英国沃弗森研究功勋奖获得者。毛学荣教授是国际著名的随机稳定性和随机控制领域的专家，在本学科领域享有极高的声誉, 为现代随机稳定性领域的奠基人。毛学荣教授出版学术专著5部，在国际SCI学术杂志上发表论文200余篇，其中10多篇论文进入Science Direct最热门文献（TOP 25 Hottest Articles）。