Linear stability analysis of numerical methods for stochastic differential equations

Activity: Talk or presentation › Invited talk › unknown

Description

Stochastic differential equations are employed in many application areas to model randomness in the dynamics, the influence of physical noise or uncertainty in system parameters. Numerical methods play a significant role in the investigation of these mathematical models and consequently the development of numerical methods has been an area of considerable interest in recent years. In this talk I will provide a brief introduction to stochastic differential equations and their numerics and then discuss recent results concerning the topic linear stability analysis of numerical methods for stochastic differential equations.
Period09 Feb 2011
Event titleunbekannt/unknown
Event typeOther
LocationSwitzerlandShow on map

Fields of science

  • 101002 Analysis
  • 101024 Probability theory
  • 107 Other Natural Sciences
  • 211 Other Technical Sciences
  • 101019 Stochastics
  • 101029 Mathematical statistics
  • 101015 Operations research
  • 101026 Time series analysis
  • 101014 Numerical mathematics

JKU Focus areas

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

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