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SUMMARY:Monte Carlo Estimation of the Solution of Fractional Partial Diffe
 rential Equations - Feng Lin (University of Warwick)
DTSTART:20220419T140000Z
DTEND:20220419T143000Z
UID:TALK171374@talks.cam.ac.uk
DESCRIPTION:The paper is devoted to the numerical solutions of fractional 
 PDEsbased on its probabilistic interpretation\, that is\, we construct app
 roximatesolutions via certain Monte Carlo simulations. The main results re
 presentthe upper bound of errors between the exact solution and the Monte 
 Carloapproximation\, the estimate of the fluctuation via the appropriate c
 entrallimit theorem (CLT) and the construction of confidence intervals. Mo
 re-over\, we provide rates of convergence in the CLT via Berry-Esseen type
 bounds. Concrete numerical computations and illustrations are included.
LOCATION:Seminar Room 1\, Newton Institute
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