SPP-JT13

5th Annual Meeting of SPP 1324
December 04 - 06, 2013
Eisenach, Pentahotel
 
 

Program

Dear participant of SPP 1324,

the fifth annual meeting of our priority program SPP 1324 takes place on

December 04 - 06, 2013 in Eisenach, Pentahotel.

This meeting, as before, aims to provide an overview of recent developments in the fields of our priority program. Researchers within our program are encouraged and very welcome to present and explain their findings. This will be done by presenting talks and in discussions during the course of our stay.

Our meeting starts Wednesday at 9 a.m. with an Opening Talk and ends on Friday at noon.

Schedule
Wednesday

09:30 - 09:45 S. Dahlke Opening
09:45 - 10:45 R. Schneider Convergence of gradient algorithm in hierachical tensor formats
10:45 - 11:15 coffee break
11:15 - 11:45 M. Espig On the Convergence of Alternating Optimisation in Tensor Format Representations
11:45 - 12:15 S. Kühn Comparison of truncation methods in the HT format
12:15 - 14:00 lunch
14:00 - 14:30 M. Kluge Sampling Rule for Tensor Reconstruction in Hierarchical Tucker Format
14:30 - 15:00 J. Ballani Hierarchical tensor approximation of output quantities of parameter-dependent PDEs
15:00 - 15:30 B. Brumm A fast matrix-free algorithm for spectral approximations to the time-dependent linear Schrödinger equation
15:30 - 16:30 coffee break
16:30 - 17:00 G. Plonka-Hoch Generalized Prony method for sparse vector reconstruction
17:00 - 17:30 S. Krause-Solberg Non-Negativity Dimensionality Reduction in Signal Separation
17:30 - 18:00 M. Hein Matrix Factorization with Binary Components
18:30 dinner
Thursday

09:30 - 10:00 S. Glas Reduced Basis Methods for Parabolic Variational Inequalities
10:00 - 10:30 S. Steck Reduced Basis Method for the Hamilton-Jacobi-Bellman Equation
10:30 - 11:00 coffee break
11:00 - 11:30 M. Altmayer Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model using Malliavin Integration by Parts
11:30 - 12:00 S. Li Multilevel Monte Carlo for Levy driven SDEs: The Central Limit Theorem
12:00 - 14:00 lunch
14:00 - 14:30 D. Rudolf Discrepancy bound of Markov chain quasi-Monte Carlo
14:30 - 15:00 F. Lindner Singular Behavior of the Solution to the Stochastic Heat Equation on a Polygonal Domain
15:00 - 15:30 S. Kinzel A class of random functions in anisotropic Besov spaces
15:30 - 16:30 coffee break
16:30 - 17:00 N. Schweizer A primal-dual algorithm for BSDEs
17:00 - 17:30 F. Dickmann Pricing Bermudan options via multi-level approximation methods
17:30 - 18:00 L. Yaroslavtseva A deterministic algorithm based on discretized Wagner-Platen steps for quadrature of marginals of SDEs
18:30 dinner
Friday
09:30 - 10:00 V. Sunkara Hybrid models as a strategy for tackling high dimensional Bio-Chemical reaction networks
10:00 - 10:30 T. Volkmer Approximation of multivariate functions by trigonometric polynomials based on rank-1 lattice sampling
10:30 - 11:00 B. Sprungk Bayesian Inversion for groundwater problems
11:00 - 11:30 J. Diehl Stochastic differential equations with rough drift, stochastic filtering and exponential integrability
11:30 S. Dahlke Conclusion
12:00 lunch

We will provide a program for everybody at the meeting.

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