Stiffness analysis of SDEs

Description

Whereas the concept of stiffness of deterministic problems is well-examined, the notion of stiffness for stochastic differential equations (SDEs) has not been treated in detail yet. A reliable characterisation of stiffness in the stochastic setting is of great importance in practice, particularly if we are dealing with problems where a necessary reduction of time step sizes for explicit methods leads to significantly higher computationalt. In this talk, we provide an overview of existing approaches to characterise stiffness for deterministic and stochastic problems.

Period	22 Jun 2016
Event title	4th Workshop on Stability and Discretization Issues in Differential Equations
Event type	Conference
Location	ItalyShow on map