Monday 23rd April 2012 – 15:45 to 16:45

Speaker: Philipp Doersek (ETHZ)

We consider the approximation of the marginal distribution of solutions of stochastic partial differential equations by splitting schemes. We introduce a functional analytic framework based on weighted spaces where the Feller condition generalises. This allows us to apply the theory of strongly continuous semigroups. The possibility of achieving higher orders of convergence through cubature approximations is discussed.

Applications of these results to problems from mathematical finance (the Heath-Jarrow-Morton equation of interest rate theory) and fluid dynamics (the stochastic Navier-Stokes equations) are considered. Numerical experiments using Quasi-Monte Carlo simulation confirm the practicality of our algorithms.

Parts of this work are joint with J. Teichmann and D. Veluscek.

Part of the Stochastic Analysis Seminar Series