Stochastic numerics and issues in the stability analysis of numerical methods
Sprache des Vortragstitels:
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 current directions in the area of
stochastic numerics and report on recent progress in the analysis of
stability properties of numerical methods for SDEs, in particular for
systems of equations. We are interested in developing classes of test
equations that allow insight into the stability behaviour of the methods
and in developing approaches to analyse the resulting systems of equations.
Forschungs-