Presentation Title

Galerkin Methods for Stochastic Differential Equations

Advisor Information

Mahboub Baccouch

Location

UNO Criss Library, Room 225

Presentation Type

Oral Presentation

Start Date

6-3-2015 3:15 PM

End Date

6-3-2015 3:30 PM

Abstract

A stochastic differential equation is a differential equation which contains at least one stochastic term. Physical systems traditionally modelled by deterministic differential equations can be more accurately described by including random effects. Closed form solutions to stochastic differential equations often do not exist, and are typically complicated when they do. In most cases, computer-driven numerical methods must be used to find approximate solutions. Existing numerical methods become complicated when rapid convergence to the solution is desired. The development of accurate, efficient, and stable numerical methods is an active field of research in mathematics. In this talk, we will propose a new continuous and discontinuous Galerkin finite element methods that exhibit rapid convergence with minimal increase in complexity. Several numerical simulations will be presented to validate the proposed schemes.

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COinS
 
Mar 6th, 3:15 PM Mar 6th, 3:30 PM

Galerkin Methods for Stochastic Differential Equations

UNO Criss Library, Room 225

A stochastic differential equation is a differential equation which contains at least one stochastic term. Physical systems traditionally modelled by deterministic differential equations can be more accurately described by including random effects. Closed form solutions to stochastic differential equations often do not exist, and are typically complicated when they do. In most cases, computer-driven numerical methods must be used to find approximate solutions. Existing numerical methods become complicated when rapid convergence to the solution is desired. The development of accurate, efficient, and stable numerical methods is an active field of research in mathematics. In this talk, we will propose a new continuous and discontinuous Galerkin finite element methods that exhibit rapid convergence with minimal increase in complexity. Several numerical simulations will be presented to validate the proposed schemes.