One World: Stochastic Numerics and Inverse Problems

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One World: Stochastic Numerics and Inverse Problems

 30 Mar 2022
1300 BST

Online

This is a One World Seminar. The seminars occur bi-weekly on a Wednesday, between 13.00-14.00 (GMT)

Organisers:

  • 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, University of Edinburgh

All seminars will be chaired by:

  • Evelyn Buckwar, Linz University

Past Events:

Erika Hausenblas, Montanuniversitaet Leoben

Stochastic Activator-Inhibitor models and its Numerical Modelling

Conall Kelly, University College Cork

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

Monika Eisenmann, Lund University

Sub-linear convergence of stochastic optimization methods in Hilbert space

Abdul Lateef Haji-Ali, Heriot Watt University

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

David Cohen, Umeå University

Drift-preserving schemes for stochastic Hamiltonian and Poisson systems

Konstantinos Dareiotis, University of Leeds

Approximation of stochastic equations with irregular drifts

This seminar was NOT recorded

Gabriel Lord, Radboud University

Numerics and SDE a model for the stochastically forced vorticity equation

Andrew Stuart, Caltech

Inverse Problems Without Adjoints

Marco Iglesias, University of Nottingham

Ensemble Kalman Inversion: from subsurface environments to composite materials

Svetlana Dubinkina, Vrije Universiteit Amsterdam

Shadowing approach to data assimilation

Ray Kawai, University of Tokyo

Stochastic approximation in adaptive Monte Carlo variance reduction

This seminar was NOT recorded

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

Kody Law,, University of Manchester

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

Evelyn Buckwar, Johannes Kepler University

A couple of ideas on splitting methods for SDEs

Akash Sharma & Michael Tretyakov, University of Nottingham

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

Andreas Prohl, Tübingen

Numerical methods for stochastic Navier-Stokes equations

Georg Gottwald, The University of Sydney

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

Mireille Bossy, INRIA

SDEs with boundaries, modelling particle dynamics in turbulent flow

Marta Sanz-Sole, Barcelona

Global existence for stochastic waves with super-linear coefficients

Raphael Kruse, Halle-Wittenberg

On the BDF2-Maruyama method for stochastic evolution equations

Sonja Cox, University of Amsterdam

Efficient simulation of generalized Whittle-Mat'ern fields

Adrien Laurent, University of Geneva

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

Chuchu Chen, Chinese Academy of Sciences

Probabilistic superiority of stochastic symplectic methods via large deviations principle

This seminar was NOT recorded

Kostas Zygalakis, University of Edinburgh

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

Xuerong Mao, Strathclyde

The Truncated Euler-Maruyama Method for Stochastic Differential Delay Equations

Charles-Edouard Bréhier, Claude Bernard Lyon

Analysis of splitting schemes for the stochastic Allen-Cahn equation

21 Jun 2021
Laura Scarbosio, Radboud University

Shape uncertainty quantification for non-smooth quantities of interest

23 Jun 2021
Annika Lang, Chalmers University
07 Jul 2021
Gabriel Stoltz, Ecole des Ponts
19 Jan 2022
Annie Millet, University Paris 1 FP2M Fedreration (CNRS FR 2036) and LPSM *UMR 8001)

Space-time discretization schemes for the 2D Navier Stokes equations with additive noise

02 Feb 2022
Lukasz Szpruch, University of Edinburgh / Alan Turing Institute

From the theory of (stochastic) control to deep learning and back

16 Feb 2022
Sebastian Reich, University of Potsdam

Frequentist perspective on robust parameter estimation using the ensemble Kalman filter

02 Mar 2022
Kristin Kirchner, TU Delft

When are linear predictions of random fields using wrong mean and covariance functions asymptotically optimal?

This seminar was NOT recorded

16 Mar 2022
Alain Durmus, ENS Paris-Saclay

On the geometric convergence for MALA under verifiable conditions

30 Mar 2022
Gilles Vilmart, Université de Genève

Superconvergent methods inspired by the Crank-Nicolson scheme in the context of diffusion PDEs