researchseminars.org

Akash Sharma (Chalmers University of Technology and University of Gothenburg)
2023-09-13 11:15 - 12:00 UTC | https://researchseminars.org/talk/cam/4/
Title: Random walks for approximating boundary value problems (https://researchseminars.org/talk/cam/4/)
by Akash Sharma (Chalmers University of Technology and University of Gothenburg) as part of CAM seminar

Lecture held in MV:L14.

Abstract
We will present numerical method to simulate reflected stochastic differential equations. We generalize this algorithm to approximately solve linear Robin boundary value problems via their probabilistic representations. In next part of the talk, we will present numerical schemes to simulate confined Langevin dynamics which results in approximate solution of specular boundary value problems. We obtain rate of convergence of these algorithms and verify them with numerical experiments. This is a joint work with Prof. Benedict Leimkuhler (University of Edinburgh) and Prof. Michael V. Tretyakov (University of Nottingham).
