Cubature methods for S(P)DEs in weighted spaces

In the seminar we will present the cubature on Wiener space for SPDEs in the case of unbounded characteristics and unbounded test functions. We will start by a short introduction to a flexible functional analytic framework, so called weighted spaces, where Feller-like properties hold. A refined analysis of vector fields on weighted spaces then yields optimal convergence rates of cubature methods for stochastic partial differential equations of Da Prato-Zabczyk type.


Dejan Veluscek (University of Ljubljana)

Tuesday, March 19, 2013 - 15:00
to 17:00