Monte Carlo Methods for Solving Partial Differential Equations - Part I of III
For Part II, see MS-We-E-35
For Part III, see MS-Th-BC-35

Date: August 12
Time: 13:30--15:30
Room: 408

(Note: Click title to show the abstract.)

Mascagni, Michael (Florida State Univ. CS Dept)
Cai, Wei (Univ. of North Carolina at Charlotte)

Abstract: Monte Carlo Methods (MCMs) have been used extensively in diverse computational applications in the sciences, engineering, and finance. This is due to their natural parallelism, data parsimony and locality, and their capability to tackle high dimension problems that are otherwise intractable. In this mini-symposium, we will present several talks that study the use of MCMs to solve partial differential equations (PDEs). These include using the Feynman-Kac formula to develop MCMs for PDEs, using polynomial chaos for solving stochastic PDEs, Monte Carlo linear solvers that arise from PDEs, algorithmic issues of the walk-on-sphere method, fault tolerance in multilevel MCMs, stability analysis of MCMs for mixed type PDEs, estimation of diffusion process sensitivities, as well as the application of MCMs in capacitance calculation of microchip ICs and multi-asset finance options.

Low Variance Estimation of Diffusion Process Sensitivities
Gobet, Emmanuel (Ecole Polytechnique)

Monte Carlo methods for solving direct and inverse stochastic problems for nonlinear partial integro-differential equations.
Sabelfeld, Karl (Inst. of computational mathematics & mathematical geophysics, Russian Acad. of Sci.)

Determining Optimal Multilevel Monte Carlo Parameters with Application to Fault Tolerance
Arbenz, Peter (ETH Zurich)

Application Monte Carlo method for evaluation the price of Multi-Asset Rainbow Options
Rasulov, Abdujabar (Univ. of World Economy & Diplomacy)


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