School of Mathematical Sciences Academic Report [2025] 046

(High-Level University Construction Series Report No. 1068)

Lecture Title: Numerical Method for Singular Drift Stochastic Differential Equation Driven by Fractional Brownian Motion

Speaker: Prof. Yaozhong Hu (University of Alberta, Canada)

Date & Time: 10:00 AM, June 20, 2025

Venue: Zoom Meeting ID: 399 434 8086, Passcode: shenzhen

Abstract: In this talk I will present a backward Euler method for stochastic differential equation with singular drift coefficient driven by fractional Brownian motion with Hurst parameter H\in (1/2, 1). This model contains the fractional Cox–Ingersoll–Ross model (CIR), Ait-Sahalia model as special cases. The rate of convergence of this scheme is proved to 1.0. Numerical experiments are applied to the constant elasticity of variance model and the Ait-Sahalia interest rate model to validate our theoretical results.

Biography: Prof. Yaozhong Hu commenced his research in systems science and stochastic mechanics under the guidance of Academician Guoping Li upon graduating from university. After earning his Master's degree from the Wuhan Institute of Mathematical Physics, Chinese Academy of Sciences in 1984, he continued research at the institute. He was twice sent to France for research: from late 1986 to early 1988, and from early 1991 to early 1992, where he studied stochastic analysis under renowned probabilist Prof. P.A. Meyer and obtained his PhD in early 1992. From 1997 to 2017, he served as Assistant Professor, Associate Professor, and Professor at the University of Kansas, USA. In August 2017, he joined the University of Alberta, Canada as Centennial Professor. Prof. Hu's research focuses on probability theory, statistics, stochastic systems theory, and their applications in finance, engineering, and quantum physics. He has published over 180 papers in leading probability and statistics journals. He was elected Fellow of the Institute of Mathematical Statistics (IMS) in 2015.

All faculty and students are welcome to attend!

Invited by: Prof. Hailing Dong

School of Mathematical Sciences

June 18, 2025