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17–21 Jun 2019
Gran Sasso Science Institute, L'Aquila
Europe/Rome timezone

Exponential integrators for stochastic partial differential equations

21 Jun 2019, 11:15
45m
Gran Sasso Science Institute, L'Aquila

Gran Sasso Science Institute, L'Aquila

Viale F. Crispi, 7 67100 L'Aquila

Speaker

Prof. David Cohen (University of Umea)

Description

The aim of the presentation is to give a brief, and hopefully not too technical, overview on the numerical discretisation of various stochastic partial differential equations (SPDEs) by exponential-type integrators. We begin by introducing SPDEs and the main ideas behind exponential integrators. We next present recent results on the use of such numerical schemes for the time integration of stochastic wave equations, stochastic Schrödinger equations, and stochastic heat equations.

Presentation materials

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