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SDEs and SPDEs : Numerical Methods and Applications

31 March to 4th April 2003, Edinburgh

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Scientific Programme

Abstracts
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Monday | Tuesday | Wednesday | Thursday | Friday

Participants should be aware that British Summer Time starts on 30 March 2003. Please remember to adjust your clocks and watches.

Monday 31 March
9:15-10:00 Vanden-Eijnden Effective Dynamics for some multi-scale SPDEs
10:00-10:45 Kuske Multi-scale analysis for stochastic bifurcations
10.45-11.15 Coffee
11:15-12:00 Lindenberg Sub-diffusion-limited reactions
12:00-12:25 Kloeden Order barrier for numerical methods for monotone SDEs
12.25-2.00 Lunch
2:00-2:45 Sancho Multiplicative noise-induce phase transitions: Ito versus Stratonovich.
2:45-3:10 Maier-Paape Spinodal Decomposition for the Cahn-Hilliard-Cook equation
3:10-3:35 Moro On the mesoscopic description of microscopic particle models using stochastic differential equations.
3.35-4.15 Coffee
4:15-4:40 Buckwar Euler-Maruyama and Milstein approximations for stochastic functional differential equations with distributed memory term
4:40-5.05 Moon Adaptive Monte Carlo Algorithm for Killed Diffusion
5.05-5:30 Menozzi New results on the approximation of killed processes
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Tuesday 1 April
9:15-10:00 Van den Broeck Brownian ratchets versus Langevin theory
10:00-10:45 Tretyakov Quasi-symplectic methods for Langevin equations
10.45-11.15 Coffee
11:15-12:00 McKane Using optimal paths to calculate sotchastic outcomes
12:00-12:25 Timofeeva Sparks and waves in a stochastic fire-diffuse-fire model of Ca$^{2+}$ release
12.25-2.00 Lunch
2:00-2:45 Schwab Numerical Solution of elliptic PDEs with stochastic data
2:45-3:10 Yan Finite element method for stochastic parabolic partial differential equations
3:10-3:35 Zouraris Galerkin finite element approximations of Elliptic SPDEs
3.35-4.15 Coffee
4:15-4:40 Lelievre Micro-macro simulations of polymeric fluid
4:40-5:25 Stuart Fitting SDEs to partially observed dynamical systems
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Wednesday 2 April

9:15-10:00 Crauel Random dynamical systems and SPDE
10.00-10.25 Langa Asymptotic behaviour of nonautonomous Lotka-Volterra eqautions
10:25-10:50 Zhao Stable/Unstable manilfold theorem for SPDEs
10.50-11.15 Coffee
11:15-12:00 Robinson The structure of random attractors
12:00-12:25 Blomker Pattern formation below the threshold of stability
12.25-13.00 Hairer Non-equilibrium stationary states
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Thursday 3 April
9:15-10:00 Fouque Multi-scale stochastic volatility asymptotics
10:00-10:45 Sanchez Reconciling analytics and numerics on the one-dimensional, stochastic sine-Gordon equation
10.45-11.15 Coffee
11:15-12:00 Debussche Ergodicity for the 3D stochastic Navier--Stokes equations
12:00-12:25 Hausenblas Numerical approximation of the stochastic Navier Stokes equation
12.25-2.00 Lunch
2:00-2:45 Higham Stability Issues in Long Term Simulations of Stochastic Differential Equations
2:45-3:10 Mao Stability of numerical solutions to hybrid SDEs
3:10-3:35 Schurz Stability of Some Numerical Methods Along Lyapunov Functionals for SDEs
3.35-4.15 Coffee
4:15-4:40 Shevchenko Rate of convergence of discrete-time approximations for solutions of SDEs in Hilbert spaces
4:40-5:25 Mattingly Erogdicity and scales in 2D Navier Stokes equation
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Friday 4 April
10:00-10:45 Sircar Fractional Brownian Motion Approximation of Financial Markets with Inert Investors
10.45-11.15 Coffee
11:15-12:00 Gyongy On the numerical approximation of stochastic Partial Differential Equations
12:00-12:25 Winkler Numerical Integration of Stochastic DAEs in Circuit Analysis
12.25-2.00 Lunch
2:00-2:45 Jansons Exponential time stepping of SDEs
2:45-3:10 Mannella Exponentially fast MC simulations
3:10-3:55 Doering Duality and wavefront propagation in a stochastic Fisher-KPP equation
3.55-4.15 Coffee & Finish
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Participants list
28 March 2003
Name Institution Dates
Ares, Saul Universidad Carlos III de Madrid 30 Mar - 06 Apr
Atkinson, Richard Birmingham University 30 Mar - 04 Apr
Bahar, Arifah University of Strathclyde 31 Mar - 04 Apr
Bandrivskyy, Andriy Lancaster University 31 Mar - 04 Apr
Blömker, Dirk Institut für Matematik 30 Mar - 05 Apr
Brzesniak, Zdzislaw University of Hull 30 Mar - 03 Apr
Buchmann, Fabian ETH Zürich 31 Mar - 04 Apr
Buckwar, Evelyn Humboldt-Universität zu Berlin 30 Mar - 05 Apr
Castro, Mario Universidad Pontificia Comillas de Madrid 30 Mar - 06 Apr
Chen, Xiaoli University of Edinburgh 30 Mar - 05 Apr
Crauel, Hans Technische Universität Ilmenau 29 Mar - 05 Apr
Crisan, Dan Imperial College London 31 Mar - 04 Apr
Debussche, Arnaud ENS de Cachan 01 Apr - 04 Apr
Doering, Charles University of Michigan 30 Mar - 05 Apr
Famelis, Ioannis National Technical University of Athens 31 Mar - 05 Apr
Fouque, Jean-Pierre North Carolina State University 30 Mar - 04 Apr
Gilsing, Hagen Humboldt University at Berlin 30 Mar - 05 Apr
Gyongy, Istvan Edinburgh University 29 Mar - 05 Apr
Hairer, Martin University of Warwick 30 Mar - 05 Apr
Hausenblas, Erika University of Salzburg 30 Mar - 06 Apr
Higham, Desmond J University of Strathclyde 31 Mar - 04 Apr
Homer, Martin University of Bristol 30 Mar - 04 Apr
Horváth-Bokor, Rózsa University of Veszprém 30 Mar - 05 Apr
Jansons, Kalvis University Collge London 30 Mar - 05 Apr
Kloeden, Peter Johnann Wolfgang Goethe University 30 Mar - 05 Apr
Kuske, Rachel University of British Columbia 30 Mar - 03 Apr
Langa, Jose A University of Seville 29 Mar - 05 Apr
Larsson, Stig Chalmers University of Technology 31 Mar - 06 Apr
Lechner, Patrick University of Bath 30 Mar - 05 Apr
Lekagul, Tanapan Imperial College 30 Mar - 04 Apr
Lelievre, Tony Ecole Nationale des Ponts et Chaussés 30 Mar - 06 Apr
Lindenberg, Katja University of California San Diego 30 Mar - 05 Apr
Lord, Gabriel J. Heriot-Watt University 30 Mar - 05 Apr
Lythe, Grant University of Leeds 30 Mar - 05 Apr
Maier-Paape, Stanislaus RWTH-Aachen 30 Mar - 05 Apr
Malham, Simon Heriot-Watt University 30 Mar - 05 Apr
Mandica, Simone University of Bath 30 Mar - 05 Apr
Mannella, Riccardo University of Pisa 29 Mar - 05 Apr
Mao, Xuerong University of Strathclyde 31 Mar - 04 Apr
Mattingly, Jonathan IAS/Duke University 30 Mar - 04 Apr
McKane, Alan J University of Manchester 30 Mar - 05 Apr
Menozzi, Stephane Université Paris VI-CMAP 30 Mar - 05 Apr
Mitsui, Taketomo Nagoya University 30 Mar - 06 Apr
Moon, Kyoung-Sook Royal Insititute of Technology Stockholm 30 Mar - 06 Apr
Moro, Esteban Universidad Carlos III de Madrid 30 Mar - 06 Apr
Onono, Etuka Strathclyde University 31 Mar - 04 Apr
Pavliotis, Grigorios University of Warwick 31 Mar - 04 Apr
Petersen, Wesley ETH Zürich 30 Mar - 06 Apr
Quer, Lluís Universitat de Barcelona 30 Mar - 05 Apr
Raghib, Michael University of Glasgow 31 Mar - 04 Apr
Retkute, Renata Galsgow Caledonian University 31 Mar - 04 Apr
Robinson, James University of Warwick 30 Mar - 05 Apr
Sabanis, Sotirios University of Edinburgh 31 Mar - 04 Apr
Sánchez, Angel Universidad Carlos III de Madrid 30 Mar - 06 Apr
Sancho, Jose M Universitat of Barcelona 30 Mar - 05 Apr
Schurz, Henri Southern Illinois University 30 Mar - 05 Apr
Schwab, Christoph ETH Zürich 28 Mar - 02 Apr
Seynaeve, Bert K U Leuven 30 Mar - 05 Apr
Shardlow, Tony University of Manchester 30 Mar - 05 Apr
Shevchenko, Georgiy Kyiv Taras Shevchenko National University 31 Mar - 04 Apr
Shmatkov, Anton University of Edinburgh 30 Mar - 05 Apr
Sircar, Ronnie Princeton University 03 Apr - 05 Apr
Stuart, Andrew University of Warwick 30 Mar - 04 Apr
Tearne, Oliver University of Warwick 30 Mar - 05 Apr
Thanawalla, Rutang Heriot-Watt University 31 Mar - 04 Apr
Timofeeva, Yulia University of Loughborough 30 Mar - 05 Apr
Tretyakov, Michael University of Leicester 30 Mar - 01 Apr
Tribe, Roger Warwick Mathematics Institute 31 Mar - 04 Apr
Van den Broeck, Christian University of Limburg 31 Mar - 04 Apr
Vanden-Eijnden, Eric Courant Institute & IAS 31 Mar - 04 Apr
Veretennikov, Alexander University of Leeds 31 Mar - 04 Apr
von Schwerin, Erik Royal Institute of Technology Stockholm 30 Mar - 06 Apr
Wiberg, Petter University of Warwick 30 Mar - 04 Apr
Wiese, Anke Heriot-Watt University 30 Mar - 05 Apr
Winkler, Renate Humboldt-Universität zu Berlin 30 Mar - 05 Apr
Yan, Yubin Chalmers University of Technology 30 Mar - 06 Apr
Yuan, Chenggui Strathclyde University 31 Mar - 04 Apr
Zhao, Huaizhong Loughborough University 01 Apr - 04 Apr
Zouraris, Georgios University of the Aegean 30 Mar - 05 Apr


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