Videos

Approximating rough stochastic PDEs

Presenter
January 30, 2014
Abstract
Jan Maas University of Bonn We consider Burgers type stochastic PDEs in one space dimension driven by multiplicative space-time white noise. These equations turn out to be very unstable under approximation of the nonlinearity. In fact, we prove that solutions to different - seemingly natural - approximating schemes converge to different limits. This phenomenon can be explained naturally in the framework of rough paths theory. This is joint work with Martin Hairer and Hendrik Weber (Warwick).