29.05.2018

Seminar on Stochastics and PDEs

The seminar usually takes place on Mondays 14:15-16:00 in the lecture room MaA203 at the Department of Mathematics and Statistics. Everyone is warmly welcome!

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Next talk:

Seminar on Stochastics and PDEs is on a vacation. We will continue in September.

Spring 2018

  • We May 16, 14:15-15:15 @MaD 302 (Analysis seminar) Juan J. Manfredi (University of Pittsburgh): Some random walks in the Heisenberg group
  • Tu May 8, 14:15-16:00  @MaD 302 Céline Labart (Université de Savoie Mont Blanc): Mean reflected SDEs with jumps
  • We Apr 25, 14:15-15:15  @MaD 302 (Analysis seminar) Sun-Sig Byun (Department of Mathematical Sciences, Seoul National University): Regularity estimates for nonlinear parabolic problems in nonsmooth domains
  • Mo Apr 16, 14:15-16:00 @MaA 203 Jarkko Siltakoski: On the comparison principle for parabolic equations involving the p-Laplacian II
    Stefan Geiss: On zero-sum stochastic differential games in domains IV
  • Mo Apr 09, 14:15-16:00 @MaA 203 Jarkko Siltakoski: On the comparison principle for parabolic equations involving the p-Laplacian
  • Mo Mar 19, 14:15-16:00 @MaA 203 Ajay Jasra (National University of Singapore): Advanced Multilevel Monte Carlo Methods
    Abstract: This talk reviews the application of some advanced Monte Carlo techniques in the context of Multilevel Monte Carlo (MLMC). MLMC is a strategy employed to compute expectations which can be biased in some sense, for instance by using the discretization of an associated probability law. The MLMC approach works with a hierarchy of biased approximations which become progressively more accurate and more expensive. Using a telescoping representation of the most accurate approximation, the method is able to reduce the computational cost for a given level of error versus i.i.d. sampling from this latter approximation. All of these ideas originated for cases where exact sampling from couples in the hierarchy is possible. This talk considers the case where such exact sampling is not currently possible. We consider some Markov chain Monte Carlo and sequential Monte Carlo methods which have been introduced in the literature and we describe different strategies which facilitate the application of MLMC within these methods.
  • Mo Mar 12, 14:15-16:00 @MaA 203 Stefan Geiss: On zero-sum stochastic differential games in domains III
  • Mo Mar 05, 14:15-16:00 @MaA 203 Thuan Nguyen: A lower bound for the approximation error of certain stochastic integrals in Lévy setting
    Abstract: We establish a lower bound for the Riemann approximation error of a stochastic integral driven by a Lévy process. The problem is considered with respect to the bmo-norm which is a variant of classical BMO-norm and we show that for any time-net, the obtained lower bound is in the term of its mesh-size.
  • Mo Feb 26, 14:15-16:00 @MaA 203 Stefan Geiss: On zero-sum stochastic differential games in domains II
  • Mo Feb 19, 14:15-16:00 @MaA 203
    Angel Arroyo: Regularity for Tug-of-War Games with Varying Probabilities IV
    Stefan Geiss: On zero-sum stochastic differential games in domains I
  • Mo Feb 12, 14:15-16:00 @MaA 203 Angel Arroyo: Regularity for Tug-of-War Games with Varying Probabilities III
  • Mo Feb 05, 14:15-16:00 @MaA 203 Angel Arroyo: Regularity for Tug-of-War Games with Varying Probabilities II
  • Mo Jan 29, 14:15-16:00 @MaA 203 Angel Arroyo: Regularity for Tug-of-War Games with Varying Probabilities I
  • Mo Jan 22, 14:15-16:00 @MaA 203 Christel Geiss: A comparison result for backward SDEs and measurable sections II
  • Mo Jan 15, 14:15-16:00 @MaA 203 Christel Geiss: A comparison result for backward SDEs and measurable sections I

Previous seminars

More information in the old seminar page.