Spring 2015
Seminars are held on Mondays from 1:30 - 2:30PM in Cullimore Hall, Room 611, unless noted otherwise. For questions about the seminar schedule, please contact David Shirokoff.
Date: March 2, 2015
Speaker: Nawaf Bou-Rabee
Department of Mathematics,
Rutgers Camden
Title: "Continuous Time Random Walks for the Numerical Solution of Stochastic Differential Equations"
Abstract:
This talk is about a new approach to simulate stochastic differential equations (SDE). This new way is distinguished from the usual one in that it is based on the probabilistic structure of the SDE, not realizations of the SDE. I will use concrete examples taken from polymeric fluids, epidemiology, molecular motors, population dynamics, and finance to motivate, and illustrate the properties of, the methods coming from this new approach. In addition to numerical results, I will also describe mathematical results on the stability, accuracy and complexity of the method.
This talk is based on joint work with Eric Vanden-Eijnden (Courant Institute, NYU).