Probability Seminar: Paul Tupper
Topic
Modelling and simulating systems with state-dependent diffusion
Speakers
Details
We propose a framework for modelling stochastic systems with state-dependent diffusion coefficients. Rather than specifying dynamics through a state-dependent drift and diffusion coefficients, assuming detailed balance we specify an equilibrium probability density and a state-dependent diffusion coefficient. We argue that our framework is more natural from the modelling point of view and has a distinct advantage in situations where either the equilibrium probability density or the diffusion coefficient is discontinuous. We introduce a numerical method for simulating dynamics in our framework that samples from the equilibrium probability density exactly and elegantly handles discontinuities in the coefficients. This is joint work with Xin Yang.
Additional Information
Location: ESB 2012
Paul Tupper, Simon Fraser University
Paul Tupper, Simon Fraser University
This is a Past Event
Event Type
Scientific, Seminar
Date
October 15, 2014
Time
-
Location