Annika Lang

Associate Professor at Chalmers, Mathematical Sciences, Applied Mathematics and Statistics

My research interests include numerical analysis of stochastic partial differential equations and regularity and simulation of random fields.

Source: chalmers.se

Contact Details ORCID

Publications (30)
Projects (2)

Showing 30 publications

2018

Fast generation of isotropic Gaussian random fields on the sphere

Peter E. Creasey, Annika Lang

Monte Carlo Methods and Applications. Vol. 24 (1), p. 1-11

Journal article

2018

Numerical analysis of lognormal diffusions on the sphere

Lukas Herrmann, Annika Lang, Christoph Schwab

Stochastics and Partial Differential Equations: Analysis and Computations. Vol. 6 (1), p. 1-44

Journal article

2018

Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations

Annika Lang, Andreas Petersson

Mathematics and Computers in Simulation. Vol. 143, p. 99-113

Journal article

2017

Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions

Annika Lang, Andreas Petersson, Andreas Thalhammer

Preprint

2017

Covariance structure of parabolic stochastic partial differential equations with multiplicative Lévy noise

Kristin Kirchner, Annika Lang, Stig Larsson

Journal of Differential Equations. Vol. 262 (12), p. 5896-5927

Journal article

2017

Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions

Annika Lang, Andreas Petersson, Andreas Thalhammer

BIT Numerical Mathematics. Vol. 57 (4), p. 963-990

Journal article

2016

A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes

Annika Lang

11th International Conference on Monte Carlo and Quasi Monte Carlo Methods in Scientific Computing, MCQMC 2014, Leuven, Belgium, 6-11 April 2014. Vol. 163, p. 489-505

Paper in proceedings

2016

Numerical analysis of lognormal diffusions on the sphere

Lukas Herrmann, Annika Lang, Christoph Schwab

Preprint

2016

Continuity of random fields on Riemannian manifolds

Annika Lang, Jürgen Potthoff, Martin Schlather et al

Communications on Stochastic Analysis. Vol. 10 (2), p. 185-193

Journal article

2015

Covariance structure of parabolic stochastic partial differential equations with multiplicative Lévy noise

Kristin Kirchner, Annika Lang, Stig Larsson

Preprint

2015

Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations

Annika Lang, Andreas Petersson

Preprint

2015

Isotropic Gaussian random fields on the sphere: regularity, fast simulation and stochastic partial differential equations

Annika Lang, Ch. Schwab

Annals of Applied Probability. Vol. 25 (6), p. 3047-3094

Journal article

2014

Stochastic partial differential equations

Annika Lang

Computer Vision: A Reference Guide, p. 770-775

Book chapter

2014

Kolmogorov-Chentsov Theorem and Differentiability of Random Fields on Manifolds

R. Andreev, Annika Lang

Potential Analysis. Vol. 41 (3), p. 761-769

Journal article

2013

Isotropic Gaussian random fields on the sphere

Annika Lang

Multiscale and High-Dimensional Problems, 39/2013, Oberwolfach Reports. Vol. 10, p. 2216-2219

Conference contribution

2013

Multilevel Monte Carlo method for parabolic stochastic partial differential equations

A. Barth, Annika Lang, Ch. Schwab

BIT (Copenhagen). Vol. 53 (1), p. 3-27

Journal article

2013

Covariance structure of parabolic stochastic partial differential equations

Annika Lang, Stig Larsson, Ch. Schwab

Stochastic Partial Differential Equations: Analysis and Computations. Vol. 1 (2), p. 351-364

Journal article

2013

Erratum: Fast simulation of Gaussian random fields (Monte Carlo Methods and Applications (2011) 17 (195-214))

Annika Lang, J. Potthoff

Monte Carlo Methods and Applications. Vol. 19 (1), p. 73-75

Journal article

2013

Lp and almost sure convergence of a Milstein scheme for stochastic partial differential equations

A. Barth, Annika Lang

Stochastic Processes and their Applications. Vol. 123 (5), p. 1563-1587

Journal article

2012

A new similarity measure for nonlocal filtering in the presence of multiplicative noise

T. Teuber, Annika Lang

Computational Statistics and Data Analysis. Vol. 56 (12), p. 3821-3842

Journal article

2012

Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales

Annika Lang

Journal of Computational and Applied Mathematics. Vol. 236 (7), p. 1724-1732

Journal article

2012

Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises

A. Barth, Annika Lang

Applied Mathematics and Optimization. Vol. 66 (3), p. 387-413

Journal article

2012

Nonlocal filters for removing multiplicative noise

T. Teuber, Annika Lang

Scale Space and Variational Methods in Computer Vision, Springer Berlin / Heidelberg, 2012, LNCS. Vol. 6667, p. 50-61

Paper in proceedings

2012

Multilevel Monte Carlo method with applications to stochastic partial differential equations

A. Barth, Annika Lang

International Journal of Computer Mathematics. Vol. 89 (18), p. 2479-2498

Journal article

2012

Erratum to Almost sure convergence of a semi-discrete Milstein scheme for SPDEs of Zakai type

Annika Lang, P. -L. Chow, J. Potthoff

Stochastics. Vol. 84 (4), p. 561-

Journal article

2012

Simulation of stochastic partial differential equations using finite element methods

A. Barth, Annika Lang

Stochastics. Vol. 84 (2-3), p. 217-231

Journal article

2011

Fast simulation of Gaussian random fields

Annika Lang, J. Potthoff

Monte Carlo Methods and Applications. Vol. 17 (3), p. 195-214

Journal article

2010

Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type

Annika Lang, P. -L. Chow, J. Potthoff

Stochastics. Vol. 82 (3), p. 315-326

Journal article

2010

Mean square convergence of a semidiscrete scheme for SPDEs of Zakai type driven by square integrable martingales

Annika Lang

Procedia Computer Science. Vol. 1 (1), p. 1615-1623

Paper in proceedings

2010

A Lax equivalence theorem for stochastic differential equations

Annika Lang

Journal of Computational and Applied Mathematics. Vol. 234 (12), p. 3387-3396

Journal article

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Showing 2 research projects

2016–2016

Numerical Analysis of Stochastic Partial Differential Equations

Annika Lang Mathematical Sciences

Stig Larsson Mathematical Sciences

Swedish Research Council (VR)

2015–2018

Approximation and simulation of Lévy-driven SPDE

Annika Lang Applied Mathematics and Statistics

Stig Larsson Applied Mathematics and Statistics

Adam Andersson Applied Mathematics and Statistics

David Bolin Applied Mathematics and Statistics

Andreas Petersson Applied Mathematics and Statistics

Swedish Research Council (VR)

There might be more projects where Annika Lang participates, but you have to be logged in as a Chalmers employee to see them.

Annika Lang

Showing 30 publications

Fast generation of isotropic Gaussian random fields on the sphere

Numerical analysis of lognormal diffusions on the sphere

Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations

Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions

Covariance structure of parabolic stochastic partial differential equations with multiplicative Lévy noise

Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions

A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes

Numerical analysis of lognormal diffusions on the sphere

Continuity of random fields on Riemannian manifolds

Covariance structure of parabolic stochastic partial differential equations with multiplicative Lévy noise

Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations

Isotropic Gaussian random fields on the sphere: regularity, fast simulation and stochastic partial differential equations

Stochastic partial differential equations

Kolmogorov-Chentsov Theorem and Differentiability of Random Fields on Manifolds

Isotropic Gaussian random fields on the sphere

Multilevel Monte Carlo method for parabolic stochastic partial differential equations

Covariance structure of parabolic stochastic partial differential equations

Erratum: Fast simulation of Gaussian random fields (Monte Carlo Methods and Applications (2011) 17 (195-214))

Lp and almost sure convergence of a Milstein scheme for stochastic partial differential equations

A new similarity measure for nonlocal filtering in the presence of multiplicative noise

Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales

Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises

Nonlocal filters for removing multiplicative noise

Multilevel Monte Carlo method with applications to stochastic partial differential equations

Erratum to Almost sure convergence of a semi-discrete Milstein scheme for SPDEs of Zakai type

Simulation of stochastic partial differential equations using finite element methods

Fast simulation of Gaussian random fields

Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type

Mean square convergence of a semidiscrete scheme for SPDEs of Zakai type driven by square integrable martingales

A Lax equivalence theorem for stochastic differential equations

Save references

Showing 2 research projects

Numerical Analysis of Stochastic Partial Differential Equations

Approximation and simulation of Lévy-driven SPDE

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Chalmers University of Technology