This workshop is devoted to numerical analysis of stochastic ordinary and partial differential equations (SDEs for both) - a topic in which research is currently highly active. The aim of the proposed workshop is to bring together leading experts in numerical analysis of SDEs to discuss recent results and open problems and to identify future research directions.
Topics include the following:
- SDEs with superlinearly growing coefficients
- SDEs with discontinuous drift coefficients
SDEs with Hölder continuous coefficients
- the Cox-Ingersoll-Ross process
- lower bounds, complexity, and optimality
multilevel-Monte Carlo methods
The structure of the workshop will be as follows: there will be four plenary talks plus regular invited talks.
The plenary talks will be given by the following experts:
Andrea Barth (Stuttgart, Germany)
Annika Lang (Göteborg, Sweden)
Thomas Müller-Gronbach (Passau, Germany)
Sotirios Sabanis (Edinburgh, United Kingdom)
The conference is partially supported by the Banach Center.