CompStoch

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




Talks
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The Program schedule is available (pdf).

List of accepted Talks:
(ordered by name)
 "On the complexity and the rates of convergence of simulationbased optimization algorithms for optimal stopping problems"
Belomestny, Denis
 "Besov Regularity for Stochastic Partial Differential Equations in Lipschitz Domains"
Dahlke, Stephan
 "Constructive quantization: approximation by empirical measures"
Dereich, Steffen
 "Probabilistic UQ for PDEs with Random Data: A Case Study"
Ernst, Oliver
 "Different concepts of fractional smootness and applications"
Geiss, Stefan
 "Dimension and Timeadaptive Multilevel Monte Carlo Methods"
Gerstner, Thomas
 "Multilevel estimation of a cumulative distribution function"
Giles, Mike
 "An implicit Milstein scheme for classes of nonlinear SDEs arising in finance"
Higham, Desmond
 "Numerical approximations of stochastic differential equations with nonglobally Lipschiz continuous coefficients"
Jentzen, Arnulf
 "On weak approximation of stochastic differential equations with discontinuous drift ceofficient."
KohatsuHiga, Arturo
 "Recent Adavance in Binomial Methods in Finance"
Korn, Ralf
 "Numerical approximation of a class of stochastic PDEs arising in linear viscoelasticity"
Kovacs, Mihaly
 "Turbulent spinning processes  challenges on noise construction and numerics"
Marheineke, Nicole
 "On the Complexity of Computing Quadrature Formulas for Marginal Distributions of SDEs"
MuellerGronbach, Thomas
 "Quadrature of discontinuous functionals of the Heston price using Malliavin integration by parts"
Neuenkirch, Andreas
 "Multilevel Simulation of SPDEs Modelling Particle Systems"
Reisinger, Christoph
 "'Adaptive Multilevel Monte Carlo plus Wave propagation in random discontinuous media"
Tempone, Raul
 "Numerical integration of HeathJarrowMorton model of interest rates"
Tretyakov, Michael
 "On the convergence of the CrankNicolson method for a linear SPDE and Computable weak error approximation for the HJM term structure model"
Zouraris, Georgios


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