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Mini-Workshop: Stochastic Differential Equations: Regularity and Numerical Analysis in Finite and Infinite Dimensions

dc.date.accessioned2019-10-24T15:27:32Z
dc.date.available2019-10-24T15:27:32Z
dc.date.issued2017
dc.identifier.urihttp://publications.mfo.de/handle/mfo/3572
dc.description.abstractThis Mini-Workshop is devoted to regularity and numerical analysis of stochastic ordinary and partial differential equations (SDEs for both). The standard assumption in the literature on SDEs is global Lipschitz continuity of the coefficient functions. However, many SDEs arising from applications fail to have globally Lipschitz continuous coefficients. Recent years have seen a prosper growth of the literature on regularity and numerical approximations for SDEs with non-globally Lipschitz coefficients. Some surprising results have been obtained – e.g., the Euler–Maruyama method diverges for a large class of SDEs with super-linearly growing coefficients, and the limiting equation of a spatial discretization of the stochastic Burgers equation depends on whether the discretization is symmetric or not. Several positive results have been obtained. However the regularity of numerous important SDEs and the closely related question of convergence and convergence rates of numerical approximations remain open. The aim of this workshop is to bring together the main contributers in this direction and to foster significant progress.
dc.titleMini-Workshop: Stochastic Differential Equations: Regularity and Numerical Analysis in Finite and Infinite Dimensions
dc.rights.licenseDieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden.de
dc.rights.licenseThis document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties.en
dc.identifier.doi10.14760/OWR-2017-9
local.series.idOWR-2017-9
local.subject.msc60
local.subject.msc65
local.sortindex1012
local.date-range05 Feb - 11 Feb 2017
local.workshopcode1706b
local.workshoptitleMini-Workshop: Stochastic Differential Equations: Regularity and Numerical Analysis in Finite and Infinite Dimensions
local.organizersMartin Hutzenthaler, Essen; Annika Lang, Göteborg; Lukasz Szpruch, Edinburgh; Larisa Yaroslavtseva, Passau
local.report-nameWorkshop Report 2017,9
local.opc-photo-id1706b
local.publishers-doi10.4171/OWR/2017/9
local.ems-referenceHutzenthaler Martin, Lang Annika, Szpruch Lukasz, Yaroslavtseva Larisa: Mini-Workshop: Stochastic Differential Equations: Regularity and Numerical Analysis in Finite and Infinite Dimensions. Oberwolfach Rep. 14 (2017), 453-498. doi: 10.4171/OWR/2017/9


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