The webinars will take place on Zoom and a link to the virtual room will be sent out to all those who registered at the registration page.
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Speaker: Gabriel J. Lord (Radboud University)
Title: GBM based exponential integrators
Abstract: We introduce a type of exponential time integrator which exploits linear terms in both the drift and diffusion for Stochastic Differential Equations (SDEs). We derive the scheme and show how it can be extended to general SDEs and discuss strong convergence. We initially examine strong convergence for globally Lipschitz drift and diffusion before introducing a tamed version. We illustrate the efficiency by considering some well-known SDE models. If time permits I will discuss weak convergence of these schemes.
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This series of webinars addresses all interested people in probability, stochastic analysis, control, risk evaluation, statistics, with a view towards applications, in particular to renewable energy markets and production. This series brings together the major research themes of the projects STORM, SCROLLER, and SPATUS.