Programme of the workshop "Milstein's method: 50 years on"

Monday 30 June 2025

Time	Name	Title
9.00-9.40am	Registration & Refreshments
9.40-10am	Welcome
10-10.35	Pierre Monmarche	Non-asymptotic error bounds for unadjusted HMC and Langevin for mean-field models
10.35-11.10	Christian Bayer	A kernel regression approach to local stochastic volatility models
11.10-11.35	Coffee break
11.35-12.10	Mireille Bossy	Weak rough kernel comparison via PPDEs for integrated Volterra processes
12.10- 12.45	Cornelis Oosterlee	On a Fourier cosine expansion method with higher order Taylor schemes for fully coupled FBSDEs
12.45-2.15	Lunch
2.15-2.50	James Foster	High order splitting methods for SDEs
2.50-3.25	Evelyn Buckwar
3.25 -3.50	Coffee break
3.50-4.25	Nawaf Bou-Rabee	Introducing WALNUTS: A No-U-Turn Sampler with Locally Adaptive Step Size
4.25-5.00	Gilles Vilmart	High-order sampling of the invariant distribution of ergodic stochastic dynamics: preconditioning and postprocessing

Tuesday 1^st July 2025

Time	Name	Title
9.10-9.45am	Denis Talay	A novel methodology to test infinite expectations
9.45-10.20am	Denis Belomestny	Forward Reverse Kernel Regression for the Schroedinger bridge problem
10.20-10.50	Coffee break
10.50-11.25	Goncalo dos Reis	Mean-field EDMD and stochastic interacting particle systems
11.25-12.00	Chengcheng Ling	The Milstein scheme for singular SDEs with Holder continuous drift
12.00- 1.30	Lunch
1.30-2.05	Kristin Kirchner	Numerical methods for the SPDE approach in space-time
2.05-2.40	Lubomir Banas	TBA
2.40-3.10	Coffee break
3.10-3.45	Yue Wu	The randomised quadrature and randomised numerical schemes
3.45-4.20	Emmanuel Gobet	Walking forward and backward in Euler schemes and random number generators
4.20-6.30	Photo& Poster session &reception with food & wine

Wednesday 2 July 2025

Time	Name	Title
9.10-9.45am	Dan Crisan	Particle filters for geophysical fluid dynamics using generative models
9.45-10.20am	Mate Gerencser	TBA
10.20-10.50	Coffee break
10.50-11.25	Monika Eisenmann	A fully discretized domain decomposition approach for semi-linear SPDEs
11.25-12.00	Charles-Edouard Brehier	Analysis of stochastic optimization schemes using modified equations and weak error techniques
12.00-12.15	Best poster APT prize giving
12.15- 2.00	Lunch
2.00-2.35	Dimitra Antonopoulou	Finite Element Methods for a class of Stochastic PDEs from phase transitions
2.35-3.10	Irene Tubikanec	Network inference via approximate Bayesian computation. Illustration on a stochastic multi-population neural mass model
3.10-3.40	Coffee break
3.40-4.15	Michela Ottobre	Interacting particle systems, McKean-Vlasov PDEs and S(P)DEs with additive noise
4.15-4.50	Andreas Prohl	Numerical Methods for Optimal Control Problems with SPDEs
7.00pm	Workshop Dinner by invitation

Thursday 03 July 2025

Time	Name	Title
9.10-9.45am	Andreas Eberle	Non-reversible lifts of reversible diffusion processes and relaxation times
9.45-10.20am	Gabriel Lord	TBA
10.20-10.50	Coffee break
10.50-11.25	Maud Lemercier	High order solvers for signature kernels
11.25-12.00	Benedict Leimkuhler	Langevin sampling of neural network posteriors
12.00	Closure & Lunch

Funded and Sponsored by ICMS, Applied Probability Trust and University of Nottingham