The Annals of Probability, Vol. 34, No. 2 (Mar., 2006), pp. 663-727 (65 pages) We develop a new method to uniquely solve a large class of heat equations, so-called Kolmogorov equations in infinitely ...
Some new stochastic Runge-Kutta (SRK) methods for the strong approximation of solutions of stochastic differential equations (SDEs) with improved efficiency are introduced. Their convergence is proved ...
Join the Mathematics Department Colloquia for a lecture with Professeur Nils Berglund from the Institut Denis Poisson, Universite d'Orleans. In this talk, we will consider parabolic stochastic partial ...
Our research focus here employs probabilistic and analytic methods to explore complex random systems. At its core, the methods developed and utilized include a wide array of tools from stochastic ...
Studies properties and solutions of partial differential equations. Covers methods of characteristics, well-posedness, wave, heat and Laplace equations, Green's functions, and related integral ...
The stochastic Cahn–Hilliard equation is a pivotal tool in modelling phase separation and pattern formation in complex systems such as binary mixtures and alloys. By introducing stochastic ...
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