Seminar
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Computational and Applied Mathematics seminar

Håkon Andreas Hoel, University of Oslo: Multi-index Monte Carlo method for semilinear stochastic partial differential equations

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Overview

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  • Date:Starts 8 December 2025, 13:15Ends 8 December 2025, 14:00
  • Location:
    MV:L14, Chalmers tvärgata 3
  • Language:English

Abstract: We present an exponential-integrator based multi-index Monte Carlo method (MIMC) for weak approximations of semilinear stochastic partial differential equations (SPDE). We explore recent theoretical results on multi-index-coupled solutions of SPDEs, showing that such couplings are stable and satisfy multiplicative error estimates, and describe how this theory can be utilized to produce a tractable Monte Carlo method for weak approximations. Numerical examples illustrating the performance of MIMC will also be included.

David Cohen
  • Full Professor, Applied Mathematics and Statistics, Mathematical Sciences
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