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SUMMARY:Multiindex Monte Carlo method for semilinear stochastic partial di
 fferential equations
DTSTART:20250610T161500
DTSTAMP:20260526T035309Z
UID:641bc77f9483de09d2d903fcf8253e5a46137046384980db977b499f
CATEGORIES:Conferences - Seminars
DESCRIPTION:Prof. Abdul-Lateef Haji-Ali\, Heriot-Watt University\, Edinbur
 gh\, UK\nAbtract:\nIn this talk\, I will present an exponential-integrator
  based mulitiindex Monte Carlo method (MIMC) for weak approximations of mi
 ld solutions of semilinear stochastic partial differential equations (SPDE
 ). I will present the recent theoretical results on multiindex coupled sol
 utions of the SPDE\, namely that such couplings are stable and satisfy mul
 tiplicative error estimates\, and describe how this theory can be utilized
  to obtain a tractable MIMC method. Numerical examples show that MIMC outp
 erforms alternative methods\, such as multilevel Monte Carlo\, in settings
  with low regularity. I will also briefly discuss another recent work that
  extends the analysis of the truncated-Milstien scheme with an antithetic 
 estimator to SPDEs.\n 
LOCATION:MA A1 10 https://plan.epfl.ch/?room==MA%20A1%2010
STATUS:CONFIRMED
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