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. In this talk we will provide 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	02 Dez. 2011
Ereignistitel	2011 Workshop on Stochastic and Deterministic Partial Differential Equations with Applications
Veranstaltungstyp	Konferenz
Ort	JamaikaAuf Karte anzeigen