Seminar series
Date
Mon, 24 Feb 2014
Time
14:15 -
15:15
Location
Eagle House
Speaker
HARALD OBERHAUSER
Organisation
University of Oxford
The splitting-up method is a powerful tool to solve (SP)DEs by dividing the equation into a set of simpler equations that are easier to handle. I will speak about how such splitting schemes can be derived and extended by insights from the theory of rough paths.
Finally, I will discuss numerics for real-world applications that appear in the management of risk and engineering applications like nonlinear filtering.