##### Speaker

Van-Hoang Nguyen, Graduate Student, Department of Mathematics & Statistics, Mississippi State University

##### Title

Mathematics Seminar Series

##### Subtitle

An adaptive method for solving stochastic differential equations with discontinuous drift

##### Physical Location

Allen 14

##### Digital Location

https://msstate.webex.com/msstate/j.php?MTID=ma26e4b5158152e2b1f03263012c24244

**Abstract:** We propose and study a numerical method for solving stochastic diﬀerential equations in which the drift coeﬃcient satisﬁes some piece-wise regularity conditions and the diﬀusion coeﬃcient is Lipschitz continuous and non-degenerate at the discontinuity points of the drift coeﬃcient, if exist. In the case where the the drift coeﬃcient is discontinuous, we construct an adaptive step function for the quasi - Milstein scheme. Our scheme is proved to have strong convergence of order 1 with respect to the average computational cost. We support our theoretical ﬁndings by computing and comparing the convergence rate for some numerical examples.

*For more information, please contact Dr. Vu Thai Luan: luan@math.msstate.edu ; (662)-325-7162.*