Workshop on Computational Stochastics
March 25 - 30, 2012
Annweiler am Trifels, GERMANY


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The Program schedule is available (pdf).

List of accepted Talks:
A note from the webmaster: All talks are planned to be 30 minutes!
There was an option to select the length, which should have been deactivated.

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(ordered by name)
  1. "On the complexity and the rates of convergence of simulation-based optimization algorithms for optimal stopping problems"
    Belomestny, Denis

  2. "Besov Regularity for Stochastic Partial Differential Equations in Lipschitz Domains"
    Dahlke, Stephan

  3. "Constructive quantization: approximation by empirical measures"
    Dereich, Steffen

  4. "Probabilistic UQ for PDEs with Random Data: A Case Study"
    Ernst, Oliver

  5. "Different concepts of fractional smootness and applications"
    Geiss, Stefan

  6. "Dimension- and Time-adaptive Multilevel Monte Carlo Methods"
    Gerstner, Thomas

  7. "Multilevel estimation of a cumulative distribution function"
    Giles, Mike

  8. "An implicit Milstein scheme for classes of nonlinear SDEs arising in finance"
    Higham, Desmond

  9. "Numerical approximations of stochastic differential equations with non-globally Lipschiz continuous coefficients"
    Jentzen, Arnulf

  10. "On weak approximation of stochastic differential equations with discontinuous drift ceofficient."
    Kohatsu-Higa, Arturo

  11. "Recent Adavance in Binomial Methods in Finance"
    Korn, Ralf

  12. "Numerical approximation of a class of stochastic PDEs arising in linear viscoelasticity"
    Kovacs, Mihaly

  13. "Turbulent spinning processes - challenges on noise construction and numerics"
    Marheineke, Nicole

  14. "On the Complexity of Computing Quadrature Formulas for Marginal Distributions of SDEs"
    Mueller-Gronbach, Thomas

  15. "Quadrature of discontinuous functionals of the Heston price using Malliavin integration by parts"
    Neuenkirch, Andreas

  16. "Multilevel Simulation of SPDEs Modelling Particle Systems"
    Reisinger, Christoph

  17. "'Adaptive Multilevel Monte Carlo plus Wave propagation in random discontinuous media"
    Tempone, Raul

  18. "Numerical integration of Heath-Jarrow-Morton model of interest rates"
    Tretyakov, Michael

  19. "On the convergence of the Crank-Nicolson method for a linear SPDE and Computable weak error approximation for the HJM term structure model"
    Zouraris, Georgios

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