One World Virtual Seminar Series - Stochastic Numerics and Inverse Problems

This is the webpage for the One World Stochastic Numerics and Inverse Problems Seminar Series

The organisers for the seminar series are: Charles-Edouard Bréhier (CNRS & Université Lyon 1) Evelyn Buckwar (Linz University) Erika Hausenblas (Loeben University) Ray Kawai (Tokyo University) Gabriel Lord (Radboud University) Mikhail Tretyakov (Nottingham University) Kostas Zygalakis (Edinburgh University)

The seminars occur weekly on a Wednesday (1pm (GMT)

To sign up for this seminar series, please complete this form.

Recordings from this seminar series are available here.


Future Seminar

October 21, 2020

Mireille Bossy (INRIA)

Title: SDEs with boundaries, modelling particle dynamics in turbulent flow.

Abstract: Particle-laden flows occur in many industrial and natural systems. When dealing with turbulent flow, at play in numerous situations, some stochastic approaches are combined with numerical models for the flow, leading to systems of SDEs representing near wall particles dynamics, or colliding systems of Langevin or Brownian type. Starting with the simple situation of a stochastic inertial spherical particle in turbulence (Langevin type SDE), bouncing on a wall, we show how to obtain the optimal rate of weak convergence of a symmetrised Euler scheme. We then introduce and discuss more complex situations, such as non spherical particles or several particles that may collide.


November 4, 2020

Marta Sanz-Sole (Barcelona)


November 18, 2020



December 02, 2020

Andreas Prohl (Tübingen)


December 16, 2020

Evelyn Buckwar (Johannes Kepler University)

Title: Structure preserving methods for a finite dimensional stochastic Landau-Lifshitz-Gilbert equation

Abstract: In this talk we discuss a finite dimensional stochastic Landau-Lifshitz-Gilbert equation. The equation describes the precessional motion of the magnetisation of magnetic nanoparticles subject to thermal noise and comes with a number of features. In particular, the modulus if its solution is conserved over time and the expectation of the energy is bounded, these are features that need to be preserved in a numerical approximation. We discuss approaches of designing structure-preserving numerical methods in this setting.


Previous Seminars

Raphael Kruse (Halle-Wittenberg)

Title: On the BDF2-Maruyama method for stochastic evolution equations


Speaker: Adrien Laurent (University of Geneva)

Title: Order conditions for sampling the invariant measure of ergodic stochastic differential equations in R^d and on manifolds


Speaker: Chuchu Chen (Chinese Academy of Sciences)

Title: Probabilistic superiority of stochastic symplectic methods via large deviations principle

This seminar was NOT recorded.


Speaker: Kostas Zygalakis (Edinburgh)

Title: Explicit stabilised Runge-Kutta methods and their application to Bayesian inverse problems

A recording of this seminar is avialable here.


Speaker: Xuerong Mao (Strathclyde)

Title:The Truncated Euler-Maruyama Method for Stochastic Differential Delay Equations

A recording of this seminar is avialable here.


Speaker: Charles-Edouard Bréhier (Claude Bernard Lyon)

Title: Analysis of splitting schemes for the stochastic Allen-Cahn equation

A recording of this seminar is available here.


Speaker: Conall Kelly University College Cork

Title: A hybrid, adaptive numerical method for the Cox-Ingersoll-Ross model

A recording of this seminar is available here


Speaker: Abdul Lateef Haji-Ali(Heriot Watt University)

Title: Sub-sampling and other considerations for efficient risk estimation in large portfolios

A recording of this seminar is available here


Speaker:David Cohen (Umeå University)

Title:Drift-preserving schemes for stochastic Hamiltonian and Poisson systems

This seminar was not recorded.


Speaker: Gabriel Lord (Radboud University)

Title: Numerics and SDE a model for the stochastically forced vorticity equation

A recording of this seminar is avialable here.


Speaker: Marco Iglesias (University of Nottingham)

Title: Ensemble Kalman Inversion: from subsurface environments to composite materials

A recording of this seminar is avialable here.


Speaker: Ray Kawai (University of Tokyo)

Title: Stochastic approximation in adaptive Monte Carlo variance reduction

This talk was NOT recorded.


Speaker: Kody Law (University of Manchester)

Bayesian Static Parameter Estimation using Multilevel and multi-index Monte Carlo


Speaker: Akash Sharma & Michael Tretyakov (University of Nottingham)

Title: Computing ergodic limits of reflected diffusions and sampling from distributions with compact support


Speaker: Georg Gottwald (The University of Sydney)

Title: Simulation of non-Lipschitz stochastic differential equations driven by α-stable noise: a method based on deterministic homogenisation



This is a One World Seminar.


Zoom is the online platform being used to deliver this seminar series. Any questions relating to the seminar, please contact

This seminar series is supported as part of the ICMS Online Mathematical Sciences Seminars.