Abstract

Stochastic partial differential equations (SPDEs) and how to numerically solve them has been a growing area of mathematical research over the past three decades. In this talk, I will introduce SPDEs and some of the methods needed to solve them numerically. The concept of strong error estimates and convergence rates of a numerical scheme will be discussed. The example of a splitting scheme for the stochastic heat equation is used to illustrate the theory.

An understanding of Hilbert spaces and basic stochastic analysis is recommended.