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"
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.
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