Boundary-preserving numerical schemes for stochastic (partial) differential equations

Abstract: In this talk we consider stochastic (partial) differential equations whose solutions remain in some (half-)bounded domain. This includes, for example, models for heat flow whose solutions remain positive. In general, classical numerical schemes do not have the property of remaining in such domain. In this half-way seminar, I present some novel ideas for developing and analysing boundary-preserving numerical schemes for stochastic (partial) differential equations. The presentation is based on joint works with Charles-Edouard Bréhier, David Cohen, and Lluís Quer-Sardanyons.

numerical analysis

Audience: researchers in the topic

CAM seminar

Series comments: Online streaming via zoom on exceptional cases if requested. Please contact the organizers at the latest Monday 11:45.