About Håkon A. Hoel Håkon A. Hoel Visiting Researcher, Stochastic Numerics Research Group numerical analysis Mathematical modeling data assimilation Håkon Hoel was a visiting researcher in the Stochastic Numerics Group at KAUST. He holds an MSc degree in Computational Science from the University of Oslo (2016) and a Ph.D. in Numerical Analysis from KTH Royal Institute of Technology (2012). His main research interests are numerical analysis of stochastic differential equations, nonlinear filtering, and multilevel Monte Carlo (MLMC) methods. His research interests also include different aspects of implementation and error estimation of stochastic models in the following areas: adaptive weak approximation of stochastic differential equations Events Presented Events May 12 - May 18, 2019 Numerical methods for stochastic conservation laws with multiplicative rough drivers in the flux Håkon A. Hoel, Visiting Researcher, Stochastic Numerics Research Group May 16, 15:00 - 16:00 B1 L4 R4214 numerical methods numerical analysis Abstract Stochastic conservation laws (SCL) with quasilinear multiplicative``rough'' path dependence in the flux arise in modeling of mean field games. An impressive collection of theoretical results has been developed for SCL in recent years by Gess, Lions, Perthame, and Souganidis. We present the first fully computable numerical methods for pathwise solutions of scalar SCL with, for instance, "rough" paths in the form of Wiener processes. Convergence rates are derived for the numerical methods and we show that for strictly convex flux functions, "rough" path oscillations lead to
Numerical methods for stochastic conservation laws with multiplicative rough drivers in the flux Håkon A. Hoel, Visiting Researcher, Stochastic Numerics Research Group May 16, 15:00 - 16:00 B1 L4 R4214 numerical methods numerical analysis Abstract Stochastic conservation laws (SCL) with quasilinear multiplicative``rough'' path dependence in the flux arise in modeling of mean field games. An impressive collection of theoretical results has been developed for SCL in recent years by Gess, Lions, Perthame, and Souganidis. We present the first fully computable numerical methods for pathwise solutions of scalar SCL with, for instance, "rough" paths in the form of Wiener processes. Convergence rates are derived for the numerical methods and we show that for strictly convex flux functions, "rough" path oscillations lead to
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