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

Date: August 11
Time: 16:00--18:00
Room: 2-2

(Note: Click title to show the abstract.)

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-E-30-1
16:00--16:30
Mild stochastic calculus and weak convergence rates for stochastic partial differential equations
Jentzen, Arnulf (ETH Zurich)


MS-Tu-E-30-2
16:30--17:00
Adaptive importance sampling in least-squares Monte-Carlo algorithms for backward stochastic differential equations
Turkedjiev, Plamen (Ecole Polytechnique)


MS-Tu-E-30-3
17:00--17:30
Exponential integrator schemes for semi-linear stochastic wave equations
Wang, Xiaojie (Central South Univ.)


MS-Tu-E-30-4
17:30--18:00
Random ordinary differential equations and their numerical approximation
Kloeden, Peter (Huazhong Univ. of Sci. & Tech.)

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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