January 19, 2017

Numerical and Computational Challenges in Science and Engineering Program

Kevin Burrage
Department of Mathematics, University of Queensland

Friday, March 15, 2002, 11:00 am

Audio of Talk

An Overview of Numerical Methods for Stochastic Differential Equations
In this talk, I will give an overview of some of the issues involved in designing and implementing numerical methods for the numerical solution of stochastic differential equations. Topics covered will include
1. Applications:
   Financial Models - Stock, Energy markets
  Computational Biology - DNA models, protein motors
2. Fundamentals of SDEs
3. Numerical Methods:weak order, strong order, Taylor series approximations
4. Stochastic Runge-Kutta methods:explicit, implicit, waveform relaxation, Magnus methods
5. Implementation issues

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