Numerical Analysis RIT
- Focus of the RIT in Fall 2003 and Spring 2004
-
The main focus of the RIT in Numerical Analysis is the theory and the numerical approximation
of stochastic differential equations. In order to understand the material, the main effort
in Fall and most likely for significant parts in Spring is to read the lecture notes on
stochastic differential equation by
L. C. Evans. The lecture notes are available on L. C. Evans' web page
or along with other useful lecture notes on the web.
- Meeting schedule in Fall 2003
- The RIT meets on Mondays from 2:45-3:45 in MATH B0427.
September 8: Elementary probability I, R. Nochetto
September 15: Elementary probability II, R. Nochetto
September 22: Elementary probability III, R. Nochetto
September 29: Elementary probability IV, R. Nochetto
October 6: Elementary probability V, R. Nochetto
October 13: Elementary probability VI, J. Cooper
October 20: Elementary probability VII, J. Cooper;
Brownian motion with MATLAB, K.-S. Moon
October 27: Construction of Wiener Processes, J. Cooper
November 3: Ito's Formula I, C. Zhang and K. Mekdhay
November 10: Ito's Formula II, C. Zhang
November 17: Ito's Formula III, C. Zhang
November 24: Ito's Formula III, K. Mekdhay
December 1: Definition of stochastic DE and examples, T. von Petersdorff
December 8: Numerical Methods for SDE, K.-S. Moon
- Participants in Fall 2003
- Faculty:
Jeffery Cooper (Mathematics),
Georg Dolzmann (Mathematics),
Howard Elman (Computer Science),
Ricardo Nochetto (Mathematics),
Dianne P. O'Leary (Computer Science),
John Osborn (Mathematics),
Tobias von Petersdorff (Mathematics),
Konstantina Trivisa (Mathematics)
Postdocs:
Sören Bartels (Mathematics, DAAD fellow),
Kyoung-Sook Moon (Mathematics),
Francisco Pena (Mathematics,
Visiting scholar from the University of Santiago de Compostela)
Graduate students:
Gunay Dogan (Mathematics),
Khamron Mekchay (Mathematics),
Shawn Walker(Aerospace Engineering),
Chensong Zhang (Mathematics)
- Graduate prerequisites
- Introductory PDEs (MATH 462) and numerical computation (AMSC 460 or 466).
- Undergraduate prerequisites
- Several variable calculus (MATH 241) and differential equations (MATH 246).
Concurrent enrollment in scientific computing (AMSC 460) or numerical analysis (AMSC/MATH 466).
- What we did in past terms
- Academic year 2002-03
Georg K Dolzmann
Last modified: Thu Jan 29 16:44:41 EST 2004