Sigurður Freyr Hafstein

Carlos Argaez Garcia, November 11, 2019

Math colloquium

Speaker: Sigurður Freyr Hafstein, University of Iceland

Title: Lyapunov functions for stochastic differential equations and their computation

Room: HB5 (Háskólabíó)
Time: Friday 15th November, 11:40hrs

Abstract:

Attractors and their basins of attraction in deterministic dynamical systems are most commonly studied using the Lyapunov stability theory.  Its centerpiece is the Lyapunov function, which is an energy-like function from the state-space that is decreasing along all solution trajectories.
The Lyapunov stability theory for stochastic differential equations is much less developed and, in particular, numerical methods for the construction of Lyapunov functions for such systems are few and far between.  We discuss the general problem and present some novel numerical methods.