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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.




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