MS18 - Numerical treatment of stochastic differential equations

Organized by: Kristian Debrabant, Andreas Rößler


Andreas Neuenkirch
Discretizing the Heston model: an analysis of the weak convergence rate

Evelyn Buckwar
Stability Issues in the Numerical Treatment of Stochastic Differential Equations

David Cohen
Fully discrete approximation of one-dimensional stochastic wave equations

Gilles Vilmart
Postprocessed integrators for the high order sampling of the invariant distribution of stiff SDEs and SPDEs.

back