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Numerical Analysis Seminar: A couple of ideas on splitting methods for SDEs

Tid: 2022-12-01 13:00 till 14:00 Seminarium

Evelyn Buckwar, Title: A couple of ideas on splitting methods for SDEs

Abstract: We discuss developing splitting methods for stochastic differential equations. Splitting methods are a well-known type of numerical methods
in the context of Geometric Numerical Integration of ordinary differential equations, in particular they are known to be structure preserving schemes in various situations.
Extensions of these methods to the case of stochastic differential equations exist for considerable time already and they currently appear to become quite popular. In this talk I will present examples illustrating some benefits of splitting methods for SDEs. Illustrative examples include SDEs employed in neuroscience and chemical kinetics. 


Om händelsen
Tid: 2022-12-01 13:00 till 14:00

MH 330

alexandros [dot] sopasakis [at] math [dot] lth [dot] se

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Sidansvarig: webbansvarig@math.lu.se | 2017-05-23