Probability Seminar: Paul Tupper
- Date: 10/15/2014
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.
Location: ESB 2012