This intensive course on stochastic differential equation is organized under the umbrella of the EU Horizon 2020 Research and Innovation Staff Exchange program CHiPS.
The meeting is held in Gothenburg in Sweden, and is hosted by the Department of Mathematical Sciences at Chalmers University of Technology and the University of Gothenburg.
The course leader is
Stig Larsson. Local organizer is
Klas Modin.
The course is built around a series of lectures (4 x 45min per day) given by the teachers. In addition, there shall be time for discussion, questions, and exercises. Suitable background for participants:
multivariate calculus,
basic knowledge of ODE, and
basic knowledge of linear PDE particularly the heat and wave equations. Some familiarity with the
Finite Element Method is also good.
Preliminary course contentsStochastic integration in R
nStochastic integration in Hilbert space
Stochastic evolution problem in R
nStochastic evolution problem in Hilbert space
Semigroup, mild solution
Stochastic heat equation
Stochastic wave equation
Stochastic Cahn-Hilliard equation
Numerical approximation by finite elements and Euler's method
Lecture slidesPart 1Part 2Part 3 (updated twice, 3rd version)
Hand-in excerciseTo receive credits for the course you need to complete
this exercise and hand it in to Stig Larsson via email.
First scheduled eventThe school starts on Tuesday 7/3 with a common lunch at the restaurant OOTO. We meet up at
12pm in the main entrance of the Mathematical Sciences building (MV) at Chalmers Campus (Johanneberg).
Schedule of lecturesTuesday 7/3, 13.15 - 15.00 (MVF21)
Wednesday 8/3, 10.00 - 11.45 (MVF26) and 13.15 - 15.00 (MVF26)
Thursday 9/3, 10.00 - 11.45 (MVF21) and 13.15 - 15.00 (Euler)
Friday 10/3, 10.00 - 11.45 (MVF33) and 13.15 - 15.00 (MVF26)
ParticipantsSondre Galtung (NTNU)
Torbjörn Ringholm (NTNU)
Alemayehu Arara (NTNU)
Audun Reigstad (NTNU)
Sverre Anmarkrud (Norwegian University of Life Sciences)
André Berglund (Umeå University)
Milo Viviani (Chalmers and GU)
Geir Bogfjellmo (Chalmers and GU)
Tony Stillfjord (Chalmers and GU)
Håkon Strand Bølviken (Chalmers and GU)
Anders Hildeman (Chalmers and GU)
Efthymios Karatzas (Chalmers and GU)
Carl Lundholm (Chalmers and GU)
Magne Nordaas (Chalmers and GU)
Alice Kozakevicius (Federal University of Santa Maria)
Klas Modin (Chalmers and GU)
AccomodationParticipants from outside the Gothenburg region has been booked at
Quality Hotel Panorama close to Chalmers campus.
How to get there?Please have a look at
this page for information on arrival in Gothenburg.
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