Speaker: Brian Ewald
Title: Analysis of Numerical Time Integration for Stochastic Differential Equations
Affiliation: Gardner-Webb University
Date: Monday, April 3, 2006.
Place and Time: Room 101 - Love Building, 3:35-4:30 pm.
Refreshments: Room 204 - Love Building, 3:00 pm.

Abstract. There has been increasing interest in using stochastic differential equations in certain modelling questions (e.g., in the study of the equations of the earth's atmosphere and oceans). It has therefore been necessary to develop methods to numerically integrate these equations (see, e.g., Kloeden and Platen, Numerical Solution of Stochastic Differential Equations). We will discuss some different possible meanings of a stochastic forcing term in a differential equation and the additional structure that the stochastic forcing imposes on the equation. We will then consider some possible definitions of the convergence of a stochastic numerical scheme and some analytic tools for developing these schemes.