Title: Numerical simulations for stochastic PDEs
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