Probability Seminar: Paul Tupper

  • Date: 10/15/2014
Lecturer(s):
Paul Tupper, Simon Fraser University
Location: 

University of British Columbia

Topic: 

Modelling and simulating systems with state-dependent diffusion

Description: 

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.

Other Information: 

Location: ESB 2012