Vorträge in der Woche 02.03.2020 bis 08.03.2020

Mittwoch, 04.03.2020: Drift-preserving numerical integrators for stochastic Hamiltonian systems

David Cohen (University Umeå, Schweden)

The subject of the presentation is the study of numerical discretisations for separable Hamiltonian systems with additive noise. For such problems, the expected value of the total energy, along the exact solution, drifts linearly with time. We present and analyze a time integrator having the very same property for all times. The presentation is based on a work with Chuchu Chen (CAS), Raffaele D'Ambrosio (UNIVAQ), Annika Lang (Chalmers).