Session A7 - Stochastic Computation - Semi-plenary talk
July 10, 14:30 ~ 15:20
Weak order analysis for SPDEs
ENS Rennes, France - email@example.com
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).