第2回研究会

開催日：

2016年5月23日 (月)　16:00-17:15

会場：

丸の内永楽ビルディング18階 首都大学東京 丸の内サテライトキャンパス

報告者：

竹原 浩太（首都大学東京）

タイトル：

An Asymptotic Expansion Approach around Non-Gaussian Distributions

概要Abstract

In this talk, a computation algorithm for asymptotic expansion of weak solutions to stochastic differential equations will be given. It admits approximations not only around Gaussian distribution, as usual, but also around non-Gaussian ones as extension to the original scheme, and is applicable to a wide class of models including important ones in practice. Usefulness of this scheme will be confirmed through several numerical experiments.