Conference abstracts

Session A7 - Stochastic Computation - Semi-plenary talk

July 10, 14:30 ~ 15:20

Weak order analysis for SPDEs

Arnaud Debussche

ENS Rennes, France   -   arnaud.debussche@ens-rennes.fr

The numerical analysis of Stochastic Partial Differential Equations has known a lot of progress. The study of the weak order involves a lot of difficulties and started to be understood only recently. In this talk, I will present a new result of regularity for the solution of the Kolmogorov equations associated to a SPDE with a nonlinear diffusion coefficient and a Burger's type nonlinearity. This allows a complete study of the weak order of a standard semi implicit Euler scheme. I will explain why Malliavin calculus and two sided stochastic integrals are useful.

Joint work with Charles-Edouard Bréhier (Université de Lyon 1).

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