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Project B3: Numerical approximation of stochastic partial differential equations and stochastic games



Summary:

In this project we consider the numerical approximation of stochastic partial differential equations (SPDEs) and stochastic differential games. For both problems we will address the following aspect of numerical approximation: construction of robust, reliable, structure preserving numerical schemes, analysis of convergence and stability of these numerical schemes and their practical implementation. In addition, we will perform numerical simulations to examine the performance of the developed numerical algorithms and to provide insight into the qualitative and quantitative behavior of the considered systems.


Recent Preprints:

18016 Tsiry Avisoa Randrianasolo, Erika Hausenblas PDF

Time-Discretization of Stochastic 2-D Navier-Stokes Equations with Penalty-Projection Method

Project: B3

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Time-Discretization of Stochastic 2-D Navier-Stokes Equations with Penalty-Projection Method


Authors: Tsiry Avisoa Randrianasolo, Erika Hausenblas Projects: B3
Submission Date: 11.05.2018 Submitter: Michael Röckner
Download: PDF Link: 18016

18015 Hakima Bessaih, Erika Hausenblas, Tsiry Avisoa Randrianasolo, Paul Razafimandimby PDF

Numerical Approximation of Stochastic Evolution Equations: Convergence in Scale of Hilbert Space

Project: B3

X

Numerical Approximation of Stochastic Evolution Equations: Convergence in Scale of Hilbert Space


Authors: Hakima Bessaih, Erika Hausenblas, Tsiry Avisoa Randrianasolo, Paul Razafimandimby Projects: B3
Submission Date: 11.05.2018 Submitter: Michael Röckner
Download: PDF Link: 18015



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