Stochastic partial differential equations (SPDEs): approximation, asymtotics and computation

Workshop theme

This workshop will focus on both theoretical and computational approximations to stochastic PDEs. This includes numerical schemes, multi-scale structures, finite dimensional approximations (for example finite element methods), asymptotic analysis, particle methods. On a mathematical level, some of the topics of interest will be convergence rates, optimality criteria and limit theorems.

Timetable

Monday 28th June 2010
09:00 to 09:55	Registration	No Room Required
09:55 to 10:00	Welcome from David Wallace (INI Director)	No Room Required
10:00 to 10:50	Istvan Gyongy University of Edinburgh Accelerated numerical schemes for deterministic and stochastic partial differential equations	Room 1
10:50 to 11:30	Morning Coffee	No Room Required
11:30 to 12:20	Dan Crisan Imperial College London Particle approximations for strong solutions of linear SPDEs with multiplicative noise	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:10 to 15:00	SPDE scaling limits of an Markov chain Montecarlo algorithm	Room 1
15:00 to 15:40	Afternoon Tea	No Room Required
15:40 to 16:30	James Nolen Duke University Reaction-diffusion waves in a random environment	Room 1
16:30 to 17:20	Boris Rozovsky Brown University On Generalized Malliavin Calculus	Room 1
17:30 to 18:30	Welcome Wine Reception	No Room Required
18:45 to 19:30	Dinner at Wolfson Court	No Room Required

Tuesday 29th June 2010
09:20 to 10:10	Sandra Cerrai University of Maryland, College Park Asymptotic results for a class of stochastic RDEs with fast transport term and noise acting on the boundary	Room 1
10:10 to 11:00	Mark Freidlin University of Maryland, College Park Perturbation theory for systems with many invariant measures: Long-time effects	Room 1
11:00 to 11:30	Morning Coffee	No Room Required
11:30 to 12:20	Robert Dalang Stochastic integrals for spde's: a comparison	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:10 to 15:00	Mohammud Foondun Loughborough University Stochastic heat equation with spatially-colored random forcing	Room 1
15:00 to 15:40	Afternoon Tea	No Room Required
15:40 to 16:30	Davar Khoshnevisan University of Utah On the existence and position of the farthest peaks of a family of stochastic heat and wave equations	Room 1
16:30 to 17:20	The status of the theory of stochastic viscosity sols and fully nonlinear 1st and 2nd order PDE	Room 1
18:45 to 19:30	Dinner at Wolfson Court	No Room Required

Wednesday 30th June 2010
09:20 to 10:10	Peter Friz Technische Universität Berlin Rough viscosity solutions and applications to SPDEs	Room 1
10:10 to 11:00	Ludovic Goudenège ENS de Cachan Stochastic Cahn-Hilliard equation with singularities and reflections	Room 1
11:00 to 11:30	Morning Coffee	No Room Required
11:30 to 12:20	The Hybrid Monte Carlo Algorithm on Hilbert Space	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:10 to 15:00	Erwan Faou INRIA Rennes - Bretagne Atlantique Weak backward error analysis for stochastic differential equations	Room 1
15:00 to 15:40	Afternoon Tea	No Room Required
15:40 to 16:30	Erika Hausenblas Montanuniversität Leoben The Numerical Approximation for SPDEs driven by Levy Processes	Room 1
16:30 to 18:30	Poster Session	Discussion Room
19:30 to 22:00	Conference Dinner at Gonville & Caius College	No Room Required

Thursday 1st July 2010
09:20 to 10:10	Gabriel Lord Heriot-Watt University Solution of SPDEs with applications in porous media	Room 1
10:10 to 11:00	Kink stochastics	Room 1
11:00 to 11:30	Morning Coffee	No Room Required
11:30 to 12:20	Stig Larsson Chalmers University of Technology Finite element approximation of the Cahn-Hilliard-Cook equation	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:10 to 15:00	Julien Vovelle Université Claude Bernard Lyon 1 Stochastic perturbation of scalar conservation laws	Room 1
15:00 to 15:40	Afternoon Tea	No Room Required
15:40 to 16:30	Stochastic molecular dynamics	Room 1
16:30 to 17:20	Annie Millet Université Paris 1 On the stochastic nonlinear Schrodinger equation	Room 1
18:45 to 19:30	Dinner at Wolfson Court	No Room Required

Friday 2nd July 2010
09:20 to 10:10	Evelyn Buckwar Heriot-Watt University Stability analysis for numerical methods applied to systems of SODEs	Room 1
10:10 to 11:00	Marta Sanz-Solé Universitat de Barcelona Hitting probabilities for systems of stochastic waves	Room 1
11:00 to 11:30	Morning Coffee	No Room Required
11:30 to 12:20	Multi-level Coarse Grained Monte Carlo methods	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:10 to 15:00	Jochen Voss University of Leeds Discretising Burgers' SPDE with Small Noise/Viscosity	Room 1
15:00 to 15:50	Roger Tribe University of Warwick Stochastic order methods for stochastic traveling waves	Room 1
15:50 to 16:20	Afternoon Tea	No Room Required
18:45 to 19:30	Dinner at Wolfson Court	No Room Required

Stochastic partial differential equations (SPDEs): approximation, asymtotics and computation

Speakers

Evelyn Buckwar Heriot-Watt University
Sandra Cerrai University of Maryland, College Park
Dan Crisan Imperial College London
Robert Dalang
Erwan Faou
Mohammud Foondun Loughborough University
Mark Freidlin University of Maryland, College Park
Peter Friz University of Cambridge
Ludovic Goudenège ENS de Cachan
Istvan Gyongy University of Edinburgh
Erika Hausenblas Montanuniversität Leoben
Davar Khoshnevisan University of Utah
Stig Larsson Chalmers University of Technology
Gabriel Lord
Annie Millet Université Paris 1
James Nolen Duke University
Boris Rozovsky Brown University
Marta Sanz-Solé Universitat de Barcelona
Roger Tribe University of Warwick
Jochen Voss University of Leeds
Julien Vovelle Université Claude Bernard Lyon 1

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Stochastic partial differential equations (SPDEs): approximation, asymtotics and computation

Workshop theme

Timetable

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