Yao Li, Associate Professor, University of Massachusetts Amherst

Hong Jialin, Professor

Ergodicity and sensitivity analysis of stochastic differential equations

9:00-10:00 June 17(Friday)

The ergodicity of a stochastic differential equation means whether (and how fast) its law converges to an invariant probability measure. It is well known that the sensitivity of the invariant probability measure against perturbations relies on a quantitative bound of the speed of convergence. In this talk I will briefly review some known theoretical results and their limitations. Then I will introduce how to use coupling techniques to numerically compute quantitative lower and upper bounds of the speed of convergence for a large class of stochastic differential equations. The sensitivity analysis of invariant probability measures is implied by the speed of convergence result.