Stochastic Numerics and Inverse Problems

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Stochastic Numerics and Inverse Problems

 Mar 31 2021

13:00 - 14:00

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 (Edinburgh University)

This is a One World Seminar

The seminars occur bi-weekly on a Wednesdays 13.00-14.00 GMT

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

Recordings from this seminar series are available here.

 

Future Seminars


The seminar series will take a break for Easter. Details of future seminars will appear here in due course.

 

Previous Seminars


Monika Eisenmann,
Lund University - Sub-linear convergence of stochastic optimization methods in Hilbert space


Konstantinos Dareiotis,
University of Leeds - Approximation of stochastic equations with irregular drifts

  • This seminar was NOT recorded


Andrew Stuart,
Caltech - Inverse Problems Without Adjoints


Svetlana Dubinkina
,
Vrije Universiteit Amsterdam - Shadowing approach to data assimilation


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


Evelyn Buckwar
, Johannes Kepler University - A couple of ideas on splitting methods for SDEs


Andreas Prohl
, Tübingen - Numerical methods for stochastic Navier-Stokes equations


Mireille Bossy
, INRIA - SDEs with boundaries, modelling particle dynamics in turbulent flow


Raphael Kruse
, Halle-Wittenberg - On the BDF2-Maruyama method for stochastic evolution equations


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

 
Conall Kelly, University College Cork - A hybrid, adaptive numerical method for the Cox-Ingersoll-Ross model

 
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


Gabriel Lord
, Radboud University - Numerics and SDE a model for the stochastically forced vorticity equation


Marco Iglesias
, University of Nottingham - Ensemble Kalman Inversion: from subsurface environments to composite materials


Ray Kawai
, University of Tokyo - Stochastic approximation in adaptive Monte Carlo variance reduction

  • This seminar was NOT recorded

 
Kody Law, University of Manchester - Bayesian Static Parameter Estimation using Multilevel and multi-index Monte Carlo


Akash Sharma & Michael Tretyakov
, University of Nottingham - Computing ergodic limits of reflected diffusions and sampling from distributions with compact support


Georg Gottwald
, The University of Sydney - Simulation of non-Lipschitz stochastic differential equations driven by α-stable noise: a method based on deterministic homogenisation


Marta Sanz-Sole
, Barcelona - Global existence for stochastic waves with super-linear coefficients


Sonja Cox
, University of Amsterdam - Efficient simulation of generalized Whittle-Mat'ern fields

 

Zoom is the online platform being used to deliver this seminar series.

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