Probability Seminar: Paul Tupper

  • Date: 10/15/2014
Paul Tupper, Simon Fraser University

University of British Columbia


Modelling and simulating systems with state-dependent diffusion


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.

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Location: ESB 2012