Manchester Applied Mathematics and Numerical Analysis Seminars

Spring 2000

March 15, 2000, 2:30 pm

Lecture Theatre OF/B9 Oddfellows Hall (Material Science)


Numerical solution of Dirichlet problems for semilinear parabolic equations based on probability approach

Dr. M.V. Tretyakov, Department of Mathematics, UMIST

New layer methods solving Dirichlet problems for semilinear parabolic equations are constructed by using probabilistic representations of their solutions. The methods exploit ideas of weak sense numerical integration of stochastic differential equations in bounded domain. The probability approach takes into account a coefficient dependence on the space variables and a relationship between diffusion and advection in an intrinsic manner. In spite of the probabilistic nature these methods are nevertheless deterministic. Some convergence theorems are proved. Numerical tests are presented. The talk is based on joint work with Prof. G.N. Milstein (Ural State University, Ekaterinburg, Russia).

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For further info contact either Matthias Heil (mheil@ma.man.ac.uk), Mark Muldoon (M.Muldoon@umist.ac.uk)or the seminar secretary (Tel. 0161 275 5800).


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