Importance sampling techniques for stochastic partial differential equations

  • Andreas Thalhammer (Speaker)

Activity: Talk or presentation › Poster presentation › unknown

Description

We consider Monte Carlo-based methods for estimating E[f(X(T))], where X(T) denotes the mild solution of a stochastic partial differential equation (SPDE) at a given time T. We present different approaches (finite and infinite dimensional) how importance sampling can be applied to SPDEs in order to reduce the variance of the quantity of interest.
Period06 Sept 2016
Event titleWorkshop on Numerical Analysis of Stochastic PDEs (NASPDE) 2016
Event typeConference
LocationSwedenShow on map

Fields of science

  • 101024 Probability theory
  • 101 Mathematics
  • 101019 Stochastics
  • 101018 Statistics
  • 101014 Numerical mathematics

JKU Focus areas

  • Computation in Informatics and Mathematics
  • Engineering and Natural Sciences (in general)