MS-Tu-D-30
Numerical Analysis of Stochastic Differential Equations - Part I of II
For Part II, see MS-Tu-E-30

Date: August 11
Time: 13:30--15:30
Room: 2-2

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Organizer:
Neuenkirch, Andreas (Univ. of Mannheim)
Jentzen, Arnulf (ETH Zurich)

Abstract: This session is devoted to the numerical analysis of all kinds of stochastic differential equations (SDEs) and related approximation problems. Among the studied equations, there will be SDEs with irregular coefficients, backward SDEs (BSDEs), stochastic partial differential equations (SPDEs) and SDEs with other driving noises than Brownian motion. The goal of this session is to present recent developments in the area of computational SDEs. Particular focus will be given to the interplay of the different topics in this area and to the identification of new research questions.


MS-Tu-D-30-1
13:30--14:00
Approximating irregular SDEs via iterative Skorokhod embeddings
Ankirchner, Stefan (Univ. of Jena)


MS-Tu-D-30-2
14:00--14:30
Renormalization and stochastic PDEs
Shen, Hao (Univ. of Warwick)


MS-Tu-D-30-3
14:30--15:00
Finite Element Approximations for fourth order stochastic parabolic equations
Zouraris, Georgios (Univ. of Crete)


MS-Tu-D-30-4
15:00--15:30
$N$-term Galerkin Wiener Chaos Approximations of elliptic PDEs with lognormal Gaussian random inputs
Hoang, Viet Ha (Nanyang Technological Univ.)

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Footnote:
Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA