Accueil > Workshop on Multiscale methods for stochastic dynamics
Identifiez-vous pour ajouter une information temporelle

Mean-square stability analysis of SPDE approximations.

730 vues
Taguer Partager
mercredi 01 fév 2017
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.