作为天元数学东北中心“随机微分方程计算方法及其数学理论”主题活动之一，加拿大麦科文大学（MacEwan University）的Cristina Anton教授将在中心开设《随机辛几何算法》短期课程。

授课人：Cristina Anton教授

课程名称：随机辛几何算法（Symplectic Methods of Stochastic Hamiltonian Systems）

开课时间：9月9日-9月13日

开课地点：吉林大学

学　　时：8学时

人　　数：30人

预备知识：some basic knowledge about stochastic differential equations, stochastic integration, numerical schemes, and some knowledge about probability and stochastic processes (e.g. properties of expectations, convergences)

课程介绍：

The short course will present a systematic method, based on generating functions, to construct symplectic methods for stochastic Hamiltonian systems.

Ergodic properties and backward error analysis of numerical schemes for stochastic differential equations will also be covered.

Plan for each lecture is:

Lecture 1: Strong numerical schemes for stochastic Hamiltonian systems.

Lecture 2: Weak numerical schemes for stochastic Hamiltonian systems.

Lecture 3: Ergodic properties of numerical schemes for stochastic differential equations

Lecture 4: Backward error analysis for a first order weak symplectic scheme for stochastic Hamiltonian systems

导师介绍：

Since 2004 Cristina Anton is a professor in the Department of Mathematics and Statistics at MacEwan University, Edmonton, Canada. Previously She was a researcher in the Department of Probability and Stochastic Processes of the Center for Mathematical Statistics of the Romanian Academy, Bucharest, Romania. She has two PhDs—one from the University of Alberta (Applied Mathematics) and one from the Center for Mathematical Statistics of the Romanian Academy (Probability and Statistics). Her current research interests include numerical methods for stochastic differential equations, especially structure preserving numerical schemes.