CHANGE: Today's talk of Philipp Dörsek starts at 5 p.m. !!!

Th, 18.11.2010, 16:00 !!! NEW: 17:00 !!!, seminar room 101B 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 3rd floor, green section

Philipp Dörsek (TU Wien, E101) "A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations"

Abstract: We consider weak approximations of S(P)DEs. To extend the numerical analysis of splitting schemes to realistic assumptions on characteristics and test functions, we introduce Banach spaces of functions with controlled growth, generalising the Feller property to non-locally compact state spaces. We prove optimal rates of convergence for the Ninomiya-Victoir splitting applied to general Da Prato-Zabczyk type equations and the HJM equations from interest rate theory.