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CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Accelerated numerical schemes for stochastic parti
al differential equations - Gyongy\, I (University
of Edinburgh)
DTSTART;TZID=Europe/London:20120910T111000
DTEND;TZID=Europe/London:20120910T120000
UID:TALK39671AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/39671
DESCRIPTION:A class of finite difference and finite element ap
proximations are considered for (possibly) degener
ate parabolic stochastic PDEs. Sufficient conditio
ns are presented which ensure that the approximati
ons admit power series expansions in terms of para
meters corresponding to the mesh of the schemes. H
ence\, an implementation of Richardson's extrapola
tion shows that the accuracy in supremum norms of
suitable mixtures of approximations\, correspondin
g to different parameters\, can be as high as we w
ish\, provided appropriate regularity conditions a
re satisfied. The results are applied in nonlinear
filtering problems of partially observed diffusio
n processes. The talk is based on recent joint res
ults with Nicolai Krylov on accelerated finite dif
ference schemes\, and joint results with Annie Mil
let on accelerated finite element approximations.
\n
LOCATION:Seminar Room 1\, Newton Institute
CONTACT:Mustapha Amrani
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