Mathematics Research Institute


SPECTRWM: Spectral Random Walk Method for SPDEs

Nawaf Bou-Rabee (Rutgers University)

Fecha: 23/11/2016 17:00
Lugar: Sala de Grados I, Facultad de Ciencias
Grupo: G.I.R. ANEODA

The numerical solution of SPDEs presents challenges that are not typically encountered in the simulation of either PDEs or SDEs. In this talk we numerically illustrate these numerical issues, and present a new approach to address some of them. The basic idea in this approach is to approximate the SPDE solution by a suitable Markov jump process. We describe how to construct such approximations and discuss their properties.