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Gavin Gibson, Heriot-Watt University
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Lukasz Szpruch, University of Edinburgh
About:
The main purpose of the colloquium was to gain insight into new developments of Stochastic Particle Methods, which include both linear and non-linear Monte Carlo type methods.
Speakers:
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Pierre Del Moral, UNSW - An Introduction to Feynman-Kac Integration and Genealogical Tree Based Particle Models
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Benjamin Jourdain, CERMICS - Multitype Sticky Particles and Diagonal Hyperbolic Systems of PDEs
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Michela Ottobre, Heriot-Watt - A Function Space HMC Algorithm with Second Order Langevin Diffusion Limit
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Burak Buke, University of Edinburgh - Monte Carlo Methods for Stochastic Optimisation
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Goncalo dos Reis, University of Edinburgh - Customised Numerical Schemes for FBSDE.