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Adam
Andersson, PhD Post doc. at TU-Berlin from March 11, 2015
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Research
I'm working in the field of stochastic partial
differential equations (SPDE). Most of my work concerns error estimates
of numerical schemes for SPDE, mainly parabolic equations and
stochastic Volterra equations driven by Gaussian or Lévy noise. The type of error that I'm interested in
is the weak error.
Malliavin calculus is an important tool for weak error analysis. My
work contains both standard applications of the Malliavin calculus as
well as theoretical developments. Other interests concerns
backward stochastic evolution equations, approximate optimal control
of SPDE, regularity theory for SPDE and Kolmogorov equations in infinite dimensions.
Accepted papers
Duality in refined Sobolev-Malliavin spaces and weak approximations of SPDE, 2013, arXiv
With: R. Kruse and S. Larsson
Accepted for publication in J. SPDE
Weak convergence for a spatial approximation of the nonlinear stochastic heat equation, 2012, arXiv
With: S. Larsson
Accepted for publication in Math. Comp.
Preprints
Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE with globally monotone coefficients, 2015, arXiv
With: R. Kruse
Weak error analysis for semilinear stochastic Volterra equations with addititive noise, 2014, arXiv
With: M. Kovács and S. Larsson
Presentations
Institut Mittag-Leffler, Stockholm, June 2015: Advances in numerical methods for SPDEs
Different approaches to weak convergence analysis for SPDE
Växjö, Januari 2015: Matematikkolokviet
On the transition semigroup related to stochastic evolution equations in Hilbert space
Kaiserslautern, June 2014: Computational stochastics seminar
Weak convergence for SPDE: Three approaches
Bielefeld, November 2013: Numerics Colloquium
A new approach to weak convergence of SPDEs
Bielefeld, October 2013: Sixth workshop on random dynamical systems
A new approach to weak convergence of SPDEs
ETH, Zürich, December 2012: SAM Kolloquia
Malliavin calculus for SPDEs and weak convergence analysis for numerical schemes
Luleå, November 2012: Svenska matematikersamfundets höstmöte
Weak convergence analysis of numerical schemes for stochastic PDEs
Warwick, May 2012: EPSRC Symposium Workshop - Stochastic Analysis and Stochastic PDEs
Weak error of finite element approximations of a nonlinear stochastic heat equation
Växjö April 2012: Stochastic Analysis and its Applications
Weak convergence of a fully discrete scheme for the nonlinear stochastic heat equation
Lecture notes
A. Andersson and P. Sjögren:
Ornstein-Uhlenbeck theory in finite dimensions, 2012, pdf
Doctoral thesis
On weak convergence, Malliavin calculus and Kolmogorov equations in infinite dimensions, 2015, pdf
Master thesis
On Weak Differentiability of Backward SDEs and Cross Hedging of Insurance Derivatives, pdf