Lecture
Explicit Stabilised Methods: Stochastic Differential Equations
Description
This lecture discusses explicit stabilized methods for stiff Ito stochastic differential equations, introducing a new family of integrators with extended stability domains. The methods are analyzed for convergence, mean square, and asymptotic stability properties, with applications to nonlinear SDEs and parabolic SPDEs. The lecture also covers weak convergence, modified equations, backward error analysis, and invariant preserving integrators. Various numerical experiments confirm the theoretical findings and demonstrate the versatility of the methodology.
Official source
About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.
Ontological neighbourhood
Related lectures (106)
Machine Learning for Solving PDEs: Random Feature Method
Explores the Random Feature Method for solving PDEs using machine learning algorithms to approximate high-dimensional functions efficiently.
Periodic Table Elements and Assyr Abdulle's Contributions
Explores the periodic table of elements and Assyr Abdulle's significant contributions to numerical analysis.
Periodic Table of the Elements
Explores the periodic table of the elements, including Fe, Co, Ni, Cu, Zn, Ru, Rh, Pd, Ag, Cd, Os, Ir, Pt, Au, Hg, Ds, Rg, Uub.
Sampling Algorithms for Constrained Systems
Explores sampling algorithms for constrained systems, emphasizing the work of Benedict Leimkuhler from the University of Edinburgh.
High Order PDE-Convergence: ADI-Type Integrators
Covers the convergence of high-order PDEs using ADI-type integrators for parabolic problems.