DescriptionThe goal of the project is to develop fast, accurate algorithms for simulation and inference of stochastic differential equations (SDE). Many SDE models of interest in science feature drift and diffusion coefficients with superlinear growth, which causes convergence and stability problems for many time integrators. We seek improved methods that can overcome these problems, with a focus on correctly computing moments and densities of the solution.
OrganizationUniversity of California, Merced
DepartmentApplied Mathematics
Sponsor Campus GridOSG Connect
Principal Investigator
Harish S. Bhat
Field Of ScienceMathematical Sciences