| EPSRC Reference: |
GR/R97788/01 |
| Title: |
Adaptive Algorithms for SDEs; Collaborative Research Visit to Stanford |
| Principal Investigator: |
Stuart, Professor A |
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| Department: |
Mathematics |
| Organisation: |
University of Warwick |
| Scheme: |
Overseas Travel Grants Pre-FEC |
| Starts: |
01 June 2002 |
Ends: |
31 October 2002 |
Value (£): |
9,999
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| Information Technologies |
No relevance to Underpinning Sectors |
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Summary on Grant Application Form |
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The use of simple explicit numerical methods, such as the Euler-Maruyama scheme, is highly desirable for many stochastic differential equations (SDEs) arising in practice. However such schemes are transient when applied to a variety of ergodic SDEs, no matter how small a time step is used. For ordinary differential equations (ODEs), related problems can be ameliorated to a large extent by the use of adaptive time-step algorithms. Recent work by the PI and Mattingly has shown that simple extensions of this idea to SDEs result in provably ergodic numerical methods. The aims of this work are: (i) to extend this mathematics to other, more efficient, schemes; (ii) to develop methods to study finite time pathwise convergence for these adaptive schemes.SUMMARY KEY WORDS: Stochastic Differential Equations, Adaptive Time-Stepping, Invariant measures, Numerical Stability, Numerical Convergence.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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| Project URL: |
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| Further Information: |
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| Organisation Website: |
http://www.warwick.ac.uk |