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Mean-square stability analysis of SPDE approximations.
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mercredi, 1 février 2017
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Faculté des sciences -
Section de mathématiques
Mean-square stability analysis of the zero solution of SDE approximations is well established. In this talk the theory is generalized to martingale-driven SPDE. Since the generalization of the finite-dimensional theory is not suitable, mean-square stability of SPDE is characterized in terms of operators. Applications to Galerkin finite element methods in combination with backward Euler, Crank-Nicolson, and forward Euler approximations of the semigroup and Euler-Maruyama and Milstein schemes for the stochastic integral are presented.
This is joint work with Andreas Petersson and Andreas Thalhammer.
This is joint work with Andreas Petersson and Andreas Thalhammer.
Collection
Workshop on Multiscale methods for stochastic dynamics
1
Stochastic parameterizations of deterministic dynamical systems: Theory, applications and challenges
Georg Gottwald
mardi 31 janvier 2017
2
Ergodic Stochastic Differential Equations and Sampling: A numerical analysis perspective
Kostas Zygalakis
mardi 31 janvier 2017
3
Weak convergence for semi-linear SPDEs.
Sonja Cox
mardi 31 janvier 2017
4
On stochastic numerical methods for the approximative pricing of financial derivatives.
Arnulf Jentzen
mardi 31 janvier 2017
5
Mean-square stability analysis of SPDE approximations.
Annika Lang
mercredi 1 février 2017
6
Adaptive timestepping for S(P)DEs to control growth.
Gabriel Lord
mercredi 1 février 2017
7
Noise-induced transitions and mean field limits for multiscale diffusions.
Greg Pavliotis
mercredi 1 février 2017
8
Accelerated dynamics and transition state theory.
Tony Lelièvre
mercredi 1 février 2017
9
Long-time homogenization of the wave equation.
Antoine Gloria
mercredi 1 février 2017