Siegel der Universität Augsburg

Universität Augsburg
Institut für Mathematik

Siegel der Universität Augsburg

 

Augsburger Mathematisches Kolloquium

 

Professor Dr. Andreas Neuenkirch
Universität Mannheim

 
spricht am
 
Dienstag, 19. Dezember 2017
 
um
 
17:30 Uhr
 
im
 
Raum 2004 (L1)
 
über das Thema:
 

»Recent Developments in Numerical Methods for Stochastic Differential Equations«

Abstract:
Stochastic differential equations (SDEs) are an important modeling tool in many areas of science. Since explicit solutions are unknown, one has to rely on numerical methods for the simulation of such SDEs. The traditional convergence analysis for numerical methods relies on the global Lipschitz assumption for the coefficients of the SDEs. However, this is rarely met in practice. The last ten years have seen a rapid growth in the numerical analysis of SDEs without the global Lipschitz condition. Examples include superlinear or square root coefficients, which appear e.g. in biology and mathematical finance. After an introduction into SDEs and classical numerical results I will give a review of these developments. Moreover, I will present recent findings in the case of discontinuous coefficients. This final part is based on a joint work with M. Szölgyenyi (ETH Zürich) and L. Szpruch (U Edinburgh).

 

Hierzu ergeht herzliche Einladung.
Prof. Dr. Lisa Beck



wwwadm@Math.Uni-Augsburg.DE,    Mo 30-Okt-2017 13:35:12 MEZ