Korteweg-de Vries Institute for Mathematics

General Mathematics Colloquium

22Apr2015 11:15 - 12:15

Event

Speaker: Sonja Cox (UvA)

Title: Numerical simulations for stochastic PDEs

Abstract:

Various models arising from finance and natural sciences involve stochastic partial differential equations (SPDEs). As the solutions to an SPDE generally cannot be given explicitly, numerical simulations are used to gain insight in their behaviour. In my talk I will explain the challenges encountered here. In particular, I will explain why generally one cannot expect large convergence rates and why non-linear equations pose difficulties that do not occur with deterministic PDEs. Finally, I will explain my recent results concerning approximations to non-linear S(P)DEs.

 

Location: KdVI meeting room, SP 105-107, F3.20 

Published by  Korteweg de Vries Institute