国家天元数学东北中心

Tianyuan Mathematical Center in Northeast China

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“随机微分方程计算方法及其数学理论”短课程 | 不变测度

  作为天元数学东北中心“随机微分方程计算方法及其数学理论”主题活动之一,法国里昂第一大学((Claude Bernard University Lyon 1)的Charles Edouard Bréhier教授将在中心开设《不变测度》短期课程。

 

授课人:Charles Edouard Bréhier教授

课程名称:不变测度(Numerical approximation of invariant distributions for SPDEs)

开课时间:9月2日-9月6日

开课地点:吉林大学

学  时:10学时

人  数:30人

预备知识:numerical analysis and probability. If possible: Brownian Motion and Stochastic Differential Equations.

 

课程介绍:

The course will first present basic notions about parabolic semilinear Stochastic Partial Differential Equations, with emphasis on equations driven by space-time white noise in dimension 1. It will also present the notion of invariant distribution.

Then it will present the simplest numerical methods for the approximation of the invariant distribution (based on Euler schemes for temporal discretization, Finite Element Methods for spatial discretization and Monte-Carlo averaging). In order to estimate their computational cost, it will present the theoretical analysis of the weak error of the method.

Finally, it will present recipes (from work in progress) to reduce the computational cost in some specific examples.

 

导师介绍:

Charles Edouard Bréhier, is a researcher at CNRS (Lyon, France). He obtained is PhD in 2012 in Rennes (France). He is a specialist of numerical methods for stochastic problems, especially he works on Monte-Carlo methods for rare events, and on the analysis of numerical schemes for Stochastic Partial Differential Equations.。