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Numerical Analysis RIT
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.
A useful review article on
numerical methods has been written by D. J. Higham (SIAM Rev. 43 (2001), no. 3,
525-546).
- Meeting schedule in Spring 2004
- The RIT meets on Mondays from 3:00-4:00 in MATH 0307.
February 2: Weak and strong solutions of stochastic differential equations I,
T. von Petersdorff
February 9: Weak and strong solutions of stochastic differential equations II,
T. von Petersdorff
February 16: Weak and strong solutions of stochastic differential equations III,
T. von Petersdorff; Numerical applications I, Kyoung-Sook Moon
February 23: Numerical applications II,
Kyoung-Sook Moon
March 1: Numerical applications III - weak approximation of SDE ,
Kyoung-Sook Moon
March 8: Numerical applications IV ,
Kyoung-Sook Moon
March 15: The concept of stopping times and its application I ,
Tinghui Yu
March 29: The concept of stopping times and its application II ,
Tinghui Yu
April 5: The concept of stopping times and its application III ,
Tinghui Yu
April 12: Applications to option pricing in mathematical finance I,
Tobial von Petersdoff
April 19: Applications to option pricing in mathematical finance II,
Tobial von Petersdoff
April 26: Applications of American option problems including optimal stopping I,
Tobial von Petersdoff
May 3: Applications of American option problems including optimal stopping II,
Tobial von Petersdoff
May 10: Applications of American option problems including optimal stopping III,
Chensong Zhang
- Participants in Spring 2004
- 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
- Fall 2003
- Academic year 2002-03
(Daniel Kessler's web page, currently not maintained)
Georg K Dolzmann
Last modified: Tue May 11 17:17:11 EDT 2004