Stability Issues for Numerical Methods for SDEs

Beschreibung

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.This poster provides an overview 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.

Zeitraum	15 Jän. 2013
Ereignistitel	Theory and Applications of Stochastic PDEs
Veranstaltungstyp	Konferenz
Ort	USA/Vereinigte StaatenAuf Karte anzeigen