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SUMMARY:Kristian Debrabant (University of Southern Denmark)
DTSTART:20241209T121500Z
DTEND:20241209T130000Z
DTSTAMP:20260417T004418Z
UID:cam/43
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/cam/43/">Opt
 imal stochastic Runge-Kutta methods for the weak integration of stochastic
  dynamics</a>\nby Kristian Debrabant (University of Southern Denmark) as p
 art of CAM seminar\n\nLecture held in MV:L14.\n\nAbstract\nThe difficulty 
 of the creation of weak high order integrators for stochastic dynamics lie
 s in the tedious calculations of order conditions. The original approaches
  focused on adapting strong approximations\, mainly replacing the iterated
  stochastic integrals by random variables that have the same moments. The 
 methods obtained this way are sub-optimal in their number of function eval
 uations.\n\nIn this talk\, using a specific set of random Runge-Kutta coef
 ficients\, we greatly reduce the number of order conditions for weak secon
 d order integration of stochastic dynamics. The approach is successfully a
 pplied to the creation of a collection of new simple stochastic Runge-Kutt
 a methods of weak order two with an optimal number of stages.\n\nThe conte
 nts of this talk are joint work with Anne Kværnø and Adrien Laurent.\n
LOCATION:https://researchseminars.org/talk/cam/43/
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