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


Principal Investigator(s)
L’ubomír Baňas
Visitor(s)
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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:

20097 L’ubomír Baňas, Herbert Dawid, Tsiry Avisoa Randrianasolo, Johannes Storn, Xingang Wen PDF

On numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics

Project: B3, B7, C2

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On numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics


Authors: L’ubomír Baňas, Herbert Dawid, Tsiry Avisoa Randrianasolo, Johannes Storn, Xingang Wen Projects: B3, B7, C2
Submission Date: 28.08.2020 Submitter: Giorgio Ferrari
Download: PDF Link: 20097

20025 Erika Hausenblas, Tsiry Avisoa Randrianasolo, Mechthild Thalhammer PDF

Theoretical study and numerical simulation of pattern formation in the deterministic and stochastic Gray-Scott equations

Project: B3

Published: Journal of Computational and Applied Mathematics 364 (2020), 112335: 1–47

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Theoretical study and numerical simulation of pattern formation in the deterministic and stochastic Gray-Scott equations


Authors: Erika Hausenblas, Tsiry Avisoa Randrianasolo, Mechthild Thalhammer Projects: B3
Submission Date: 22.02.2020 Submitter: L’ubomír Baňas
Download: PDF Link: 20025
Published: Journal of Computational and Applied Mathematics 364 (2020), 112335: 1–47

20007 L’ubomír Baňas, Giorgio Ferrari, Tsiry Avisoa Randrianasolo PDF

Numerical approximation of the value of a stochastic differential game with asymmetric information

Project: B3, C4

To appear: SIAM Journal on Control and Optimization (2020)

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Numerical approximation of the value of a stochastic differential game with asymmetric information


Authors: L’ubomír Baňas, Giorgio Ferrari, Tsiry Avisoa Randrianasolo Projects: B3, C4
Submission Date: 01.01.2020 Submitter: Frank Riedel
Download: PDF Link: 20007
To appear: SIAM Journal on Control and Optimization (2020)

19033 L’ubomír Baňas, Michael Röckner, Andre Wilke PDF

Convergent numerical approximation of the stochastic total variation flow

Project: B1, B3

Published: Stochastics and Partial Differential Equations: Analysis and Computations (2020), DOI: 10.1007/s40072-020-00169-4: 1–35

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Convergent numerical approximation of the stochastic total variation flow


Authors: L’ubomír Baňas, Michael Röckner, Andre Wilke Projects: B1, B3
Submission Date: 28.06.2019 Submitter: Giorgio Ferrari
Download: PDF Link: 19033
Published: Stochastics and Partial Differential Equations: Analysis and Computations (2020), DOI: 10.1007/s40072-020-00169-4: 1–35

19029 Dimitra Antonopoulou, L’ubomír Baňas, Robert Nürnberg, Andreas Prohl PDF

Numerical Approximation of the stochastic Cahn-Hillard equation near the sharp interface limit

Project: B3

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Numerical Approximation of the stochastic Cahn-Hillard equation near the sharp interface limit


Authors: Dimitra Antonopoulou, L’ubomír Baňas, Robert Nürnberg, Andreas Prohl Projects: B3
Submission Date: 06.06.2019 Submitter: Martina Hofmanová
Download: PDF Link: 19029

18016 Tsiry Avisoa Randrianasolo, Erika Hausenblas PDF

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

Project: B3

Published: Numerische Mathematik 143 (2019), 339–378

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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
Published: Numerische Mathematik 143 (2019), 339–378

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

Published: Journal of Computational and Applied Mathematics 343 (2018), 250–274

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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
Published: Journal of Computational and Applied Mathematics 343 (2018), 250–274



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