(High-order) sampling of invariant distributions of (SDEs and) some SPDEs (Charles-Edouard Bréhier, Lyon)

27.09.2016 14:15

I will discuss the approximation of the invariant distributions for some parabolic, semilinear, Stochastic Partial Differential Equations (SPDEs), and various methods for the analysis of the error induced by discretization in time and in space. Based on recent works on Stochastic Differential Equations (SDEs), that I will recall, I will present a new scheme for SPDEs, which increases the order of convergence for time-discretization. The statement is supported with theoretical results and numerical simulations.
The talk is based on joint work with Gilles Vilmart (Geneva).

Lieu

salle 623, Séminaire d'analyse numérique

Organisé par

Section de mathématiques

Intervenant-e-s

Charles-Edouard Bréhier , Univ. Lyon

entrée libre

Classement

Catégorie: Séminaire

Mots clés: analyse numérique