One World Stochastic Numerics and Inverse Problems
From April 2020 to March 2022, the seminar has been supported by ICMS, the International Center for Mathematical Sciences. The seminar series will continue, a new registration form will be available soon. Do not hesitate to contact us for information.
6 July 2022: Jad Doghman (Centrale Supélec)
Numerical approximation of the stochastic Navier-Stokes equations through artificial compressibility Recording .
22 June 2022: Anne Kvaerno (Norwegian University of Science and Technology)
Stochastic B-series and order conditions for exponential integrators Recording .
8 June 2022: Claudia Schillings (Freie Universitat Berlin)
A General Framework for Machine Learning based Optimization Under Uncertainty
25 May 2022: Michaela Szölgyenyi (University of Klagenfurt)
Stochastic differential equations with irregular coefficients: mind the gap! Recording .
11 May 2022: Yue Wu (University of Strathclyde)
The numerical approximations for the random periodic solution of S(P)DEs Recording .
27 April 2022: Andreas Petersson (University of Oslo)
Numerical approximation of the heat modulated infinite dimensional Heston model Recording .
30 March 2022: Gilles Vilmart (Université de Genève)
Superconvergent methods inspired by the Crank-Nicolson scheme in the context of diffusion PDEs
16 March 2022: Alain Durmus (ENS Paris-Saclay)
On the geometric convergence for MALA under verifiable conditions
02 March 2022: Kristin Kirchner (TU Delft)
When are linear predictions of random fields using wrong mean and covariance functions asymptotically optimal?
16 February 2022: Sebastian Reich (University of Potsdam)
The ensemble Kalman filter and its extension to nonlinear and multi-scale filtering problems
2 February 2022: Lukasz Szpruch (University of Edinburgh)
From the theory of (stochastic) control to deep learning and back
19 January 2022: Annie Millet (Université Paris 1 Panthéon Sorbonne)
Space-time discretization schemes for the 2D Navier Stokes equations with additive noise
15 December 2021: Toshihiro Yamada (Hitotsubashi University)
Deep learning and probabilistic methods for solving high-dimensional linear/nonlinear parabolic PDEs
1 December 2021: Aretha Teckentrup (University of Edinburgh)
Convergence, Robustness and Flexibility of Gaussian Process Regression
17 November 2021: Irene Tubikanec (Johannes Kepler University, Linz)
Splitting methods for SDEs with locally Lipschitz drift. An illustration on the FitzHugh-Nagumo model
3 November 2021: Arturo Kohatsu-Higa (Ritsumeikan University)
Simulation of Reflected Brownian motion on two dimensional wedges
20 October 2021: Emmanuel Gobet (Ecole Polytechnique)
How to generate the path of Fractional Brownian motion with a ReLU-Neural Networks
6 October 2021: Tony Shardlow (University of Bath)
Contaminant dispersal, numerical simulation, and stochastic PDEs
22 September 2021: Raul Tempone (KAUST)
Combining Hierarchical Approximation with Importance Sampling: Approximation and Optimization techniques
7 July 2021: Gabriel Stoltz (Ecole des Ponts and Inria Paris)
Computation of transport coefficients in molecular dynamics: methods and numerical analysis
23 June 2021: Annika Lang (Chalmers University)
Connecting random fields on manifolds and stochastic partial differential equations in simulations
9 June 2021: Laura Scarabosio (Radboud University)
Shape uncertainty quantification for non-smooth quantities of interest
26 May 2021: Erika Hausenblas (Montanuniversitaet Leoben)
Stochastic Activator-Inhibitor models and its Numerical Modelling
31 March 2021: Monika Eisenmann (Lund University)
Sub-linear convergence of stochastic optimization methods in Hilbert space
17 March 2021: Konstantinos Dareiotis (University of Leeds)
Approximation of stochastic equations with irregular drifts
3 March 2021: Andrew Stuart (Caltech)
Inverse Problems Without Adjoints
17 February: Svetlana Dubinkina (Vrije Universiteit Amsterdam)
Shadowing approach to data assimilation
3 February: Denis Talay (Inria and Ecole Polytechnique)
Probability distributions of first hitting times of solutions to SDEs w.r.t. the Hurst parameter of the driving fractional Brownian noise: A sensitivity analysis
16 December 2020: Evelyn Buckwar (Johannes Kepler University, Linz)
A couple of ideas on splitting methods for SDEs
2 December 2020: Andreas Prohl (Tübingen)
Numerical methods for stochastic Navier-Stokes equations
18 November 2020: Sonja Cox (Amsterdam)
Efficient simulation of generalized Whittle-Matérn fields
4 November 2020: Marta Sanz-Solé (Barcelona)
Global existence for stochastic waves with super-linear coefficients
21 October 2020: Mireille Bossy (Inria)
SDEs with boundaries, modelling particle dynamics in turbulent flow
7 October 2020: Raphael Kruse (Halle-Wittenberg)
On the BDF2-Maruyama method for stochastic evolution equations
23 September 2020: Adrien Laurent (University of Geneva)
Order conditions for sampling the invariant measure of ergodic stochastic differential equations in R^d and on manifolds
9 October 2020: Chuchu Chen (Chinese Academy of Sciences)
Probabilistic superiority of stochastic symplectic methods via large deviations principle
8 July 2020: Georg Gottwald (University of Sydney)
Simulation of non-Lipschitz stochastic differential equations driven by α-stable noise: a method based on deterministic homogenisation
1 July 2020: Akash Sharma & Michael Tretyakov (University of Nottingham)
Computing ergodic limits of reflected diffusions and sampling from distributions with compact support
24 June: Kody Law (University of Manchester)
Bayesian Static Parameter Estimation using Multilevel and multi-index Monte Carlo
17 June 2020: Ray Kawai (University of Tokyo)
Stochastic approximation in adaptive Monte Carlo variance reduction
10 June 2020: Marco Iglesias (University of Nottingham)
Ensemble Kalman Inversion: from subsurface environments to composite materials
3 June 2020: Gabriel Lord (Radboud University)
Numerics and SDE a model for the stochastically forced vorticity equation
27 May 2020: David Cohen (Umea University)
Drift-preserving schemes for stochastic Hamiltonian and Poisson systems
20 May 2020: Abdul Lateef Haji-Ali (Heriot Watt University)
Sub-sampling and other considerations for efficient risk estimation in large portfolios
6 May 2020: Conall Kelly (University College Cork)
A hybrid, adaptive numerical method for the Cox-Ingersoll-Ross model
29 April 2020: Charles-Edouard Bréhier ( CNRS & Université Lyon 1)
Analysis of splitting schemes for the stochastic Allen-Cahn equation
22 April 2020: Xuerong Mao (Strathclyde)
The Truncated Euler-Maruyama Method for Stochastic Differential Delay Equations
15 April 2020: Kostas Zygalakis (University of Edinburgh)
Explicit stabilised Runge-Kutta methods and their application to Bayesian inverse problems