Date
Tue, 16 May 2017
14:00
Location
L5
Speaker
Nick Trefethen
Organisation
Mathematical Institute

What's the continuous analog of randn?  In recent months I've been exploring such questions with Abdul-Lateef Haji-Ali and other members of the Chebfun team, and Chebfun now has commands randnfun, randnfun2, randnfunsphere, and randnfundisk.  These are based on finite Fourier series with random coefficients, and interesting questions arise in the "white noise" limit as the lengths of the series approaches infinity and as random ODEs become stochastic DEs.    This work is at an early stage and we are grateful for input from stochastic experts at Oxford and elsewhere.

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