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Stochastic Differential Equations and Data Assimilation course

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Engineering 5

200 University Avenue West

Room 6002

Waterloo, ON N2L 3G5

Canada

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Event description

Description

Arnold Heemink, professor of Applied Mathematics at Delft University of Technology, will present a two-day course on Stochastic Differential Equations and Data Assimilation at the University of Waterloo, October 11-12.

This course, organized by professor Kumaraswamy Ponnambalam from the Department of Systems Design Engineering, is an intro level for engineers with mathematical aptitude.

Coffee and lunch will be provided.

Please indicate which session(s) you will be attending when you register.

More Information

Stochastic Differential Equations

Gaining knowledge about the theory of numerical approximation of stochastic differential equations and getting practical experience with a number of numerical methods. Ito calculus for stochastic integrals, Stratonovitz calculus, stochastic differential equations, Fokker-Planck equations, Stochastic Taylor expansion, Euler schema, Milstein schema, strong order of convergence, weak order of convergence, Variance reduction. Applications in financial mathematics (option pricing) and environmental modelling (pollution transport).

Data Assimilation

Intro: basic theory for filtering methods: discrete- time Kalman filter, nonlinear filtering- approximate filtering methods: ensemble Kalman filtering, variational methods, hybrid methods, and particle filters. If time permits, we will discuss adaptive parameter estimation methods.

Presenter Bio

After graduating from the University of Twente in 1980 Arnold Heemink worked for 13 years at Rijkswaterstaat, the governmental hydraulic institute of the Netherlands. Since 1993 he is full professor Applied Mathematics at Delft University of Technology. For more then 35 years he worked on tidal modelling with a focus on the development of data assimilation methods for storm surge forecasting. More recently he also became interested in stochastic modelling and uncertainty quantification.

Location

Wednesday, October 11
Room E5 6002 from 9:30 a.m. to 12:30 p.m.
Room E5 6002 from 1:30 p.m. to 4:30 p.m.

Thursday, October 12
Room E5 6002 from 9:30 a.m. to 12:30 p.m.
*Room EC4 2101A from 1:30 p.m. to 4:30 p.m.

*Please note the room change on the second day of the course.

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Date and Time

Location

Engineering 5

200 University Avenue West

Room 6002

Waterloo, ON N2L 3G5

Canada

View Map

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