This workshop is part of the triennial FoCM conference series, organized by the Society for Foundations of Computational Mathematics. The next edition will be held in Barcelona, July 10th-19th, 2017.
The Stochastic Computation Workshop covers a range of subjects on the interface between numerical analysis and stochastic processes. The topics under consideration include
- the construction and the analysis of algorithms for SPDEs and PDEs with random coefficients,
- approximation methods for SDEs and BSDEs driven by Brownian motions or more general processes like Levy processes or fractional Brownian motions,
- rare event simulation and analysis,
- stochastic methods in data sciences, statistical learning, and
- recent developments in Markov Chain Monte Carlo methods (MCMC).