Stochastic Differential Equations - Applications and Efficient Solutions

Prof. Dr. Martin Redmann
Department of Mathematics,
Martin Luther University of Halle Wittenberg, Germany

Zoom Meeting ID: 984 0800 6920
Passcode:  724032
Date/Time: 27.04.2021, 15:30-16:30 

Abstract: In this talk, we give a brief introduction to stochastic differential  equations (SDEs) with links to important applications. Subsequently, we discuss scenarios in which large scale SDEs appear. Solving these equations is connected to a high computational effort which, e.g., makes Monte  Carlo methods expensive. Model order reduction (MOR) can be used to reduce the dimension of large-scale SDEs leading to a lower computational complexity. We sketch the idea of MOR for stochastic systems and present some recent theoretical and numerical results.

Last Updated:
30/04/2021 - 11:59