Numerical Methods for Systems of Stochastic Equations and Linear Stability Analysis
Sprache des Vortragstitels:
Englisch
Original Tagungtitel:
Numerical Analysis of Multiscale Problems & Stochastic Modelling
Sprache des Tagungstitel:
Englisch
Original Kurzfassung:
Stochastic Differential Equations (SDEs) have become a standard modelling tool in many areas of science, e.g., from finance to neuroscience. Many numerical methods have been developed in
the last decades and analysed for their strong or weak convergence behaviour. In this talk we will provide an overview on recent progress in the analysis of stability properties of numerical methods
for SDEs. In particular we are interested in analysing systems of stochastic equations, where these may also arise as space discretisations of stochastic partial differential equations. We are interested in developing classes of
test equations that allow us to obtian insight into the stability behaviour of the methods and in developing approaches to analyse the resulting systems of equations. The talk is based on joint work with C. Kelly and Th. Sickenberger.
Sprache der Kurzfassung:
Englisch
Vortragstyp:
Hauptvortrag / Eingeladener Vortrag auf einer Tagung
Forschungs-