STAR-seminars: Gabriel Lord 

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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.


Speaker: Gabriel Lord  - Radboud University

Title: Adaptive time-stepping for S(P)DEs​

Abstract: We present how adaptive time-stepping might be used to solve SDEs with non-Lipschitz drift (and potentially diffusion) combined with a tamed or similar method. We illustrate how to pick the timestep and look at strong convergence.  We then consider the extension to stochastic PDEs and will mention the two cases of additive and multiplicative noise and illustrate the results numerically.


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

Published Apr. 9, 2021 3:01 PM - Last modified May 5, 2021 11:01 AM