Stochastic Computation@ FoCM'14

December 18-20, 2014
Montevideo, Uruguay


Organizers

Mike Giles
 Oxford University, UK

Arnulf Jentzen
ETH Zurich, Switzerland

Klaus Ritter
TU Kaiserslautern, Germany


The workshop is part of the triennial FoCM conference series,
organized by the Society for Foundations of Computational Mathematics
hosted by the Universidad de la República in Montevideo, December 11 - 20, 2014.

Topics and scope of the workshop

The stochastic Computation workshop covers a range of subjects on the interface between numerical analysis and stochastic processes with focus on the numerical analysis of stochastic (partial) differential equations. The topics under consideration include

  • the construction and analysis of new algorithms for stochastic partial differential equations (SPDEs),
  • approximation of backward stochastic differential equations (BSDEs) and stochastic differential equations (SDEs) driven by more general processes like Levy processes or fractional Brownian motion,
  • the construction and analysis of Multilevel Monte Carlo methods,
  • Markov chain Monte Carlo (MCMC) methods and
  • approximation of SDEs and SPDEs with non-Lipschitz nonlinearities like the Heston model or stochastic Navier-Stokes equations.

 

Semi-plenary Speakers

Russel Caflish, University of California, Los Angeles, USA
Christoph Schwab, ETH Zurich, Swiss Federal Institute of Technology, Switzerland

Speakers

Christian Bayer, WIAS, Berlin
Nawaf Bou-Rabee, Rutgers University, USA
Josef Dick, The Univesity of New South Wales, Australia
Emmanuel Gobet, Ecole Polytechnique, France
Abdul Lateef Haji Ali, King Abdullah University of Science and Technology, Saudi Arabia
Hakon Hoel, King Abdullah University of Science and Technology, Saudi Arabia
Martin Hutzenthaler, University of Duisburg-Essen, Germany
Thomas Müller-Gronbach, University of Passau, Germany
Andreas Neuenkirch, University of Mannheim, Germany
Sotirios Sabanis, The University of Edinburgh, UK
Erik von Schwerin, KTH, Stockholm
Lukasz Szpruch, The University of Edinburgh, UK
Aretha Teckentrup, University of Warwick
Larisa Yaroslavtseva, University of Passau, Germany

Schedule and talk abstracts

(TBA)

Related plenary talk

Raúl Tempone, King Abdullah University of Science and Technology, Saudi Arabia

Related workshops of FoCM'14

Workshop on Information Based Complexity, http://www.math.uni-rostock.de/~hinrichs/focm14/index.htm

 

 

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