학술행사
- 발표자 이해성 교수(국립금오공과대학교 수리빅데이터학과)
- 개최일시 2024-02-27 10:30-12:30
- 일시: 2024년 2월 27일(화), 10:30 - 12:30
- 장소: 판교 테크노밸리 산업수학혁신센터 세미나실
- 경기 성남시 수정구 대왕판교로 815, 기업지원허브 231호 국가수리과학연구소
- 무료주차는 2시간 지원됩니다.
- 발표자: 이해성 교수(국립금오공과대학교 수리빅데이터학과)
- 주요내용: Introduction to stochastic differential equations
Stochastic differential equations (SDEs) are widely used in finance, physics, and engineering and have recently played an important role in image generation through artificial intelligence. In this seminar, we will learn the basic concepts of SDEs. In particular, we will define stochastic integrals based on Brownian motions and martingales, and use the Itô formula to compute solutions to several SDEs. Furthermore, we will derive semigroups through the Markov property of solutions to SDEs and investigate invariant measures for the semigroups. Finally, we will explore the relation between partial differential equations (PDEs) and SDEs and study the recent theory for constructing a solution to the SDE from a partial differential operator.
*현장 강연으로만 진행됩니다.
- 일시: 2024년 2월 27일(화), 10:30 - 12:30
- 장소: 판교 테크노밸리 산업수학혁신센터 세미나실
- 경기 성남시 수정구 대왕판교로 815, 기업지원허브 231호 국가수리과학연구소
- 무료주차는 2시간 지원됩니다.
- 발표자: 이해성 교수(국립금오공과대학교 수리빅데이터학과)
- 주요내용: Introduction to stochastic differential equations
Stochastic differential equations (SDEs) are widely used in finance, physics, and engineering and have recently played an important role in image generation through artificial intelligence. In this seminar, we will learn the basic concepts of SDEs. In particular, we will define stochastic integrals based on Brownian motions and martingales, and use the Itô formula to compute solutions to several SDEs. Furthermore, we will derive semigroups through the Markov property of solutions to SDEs and investigate invariant measures for the semigroups. Finally, we will explore the relation between partial differential equations (PDEs) and SDEs and study the recent theory for constructing a solution to the SDE from a partial differential operator.
