A structure-preserving numerical discretization of reversible diffusions

Autor:	Juan C. Latorre, Ch. Schütte, Philipp Metzner, Carsten Hartmann
Rok vydání:	2011
Předmět:	Diffusion process Discretization Stochastic process Applied Mathematics General Mathematics Numerical analysis Mathematical analysis Invariant measure Infinitesimal generator Jump process Boltzmann distribution Mathematics
Zdroj:	Communications in Mathematical Sciences. 9:1051-1072
ISSN:	1945-0796 1539-6746
Popis:	We propose a robust and efficient numerical discretization scheme for the infinitesimal generator of a diffusion process based on a finite volume approximation. The resulting discrete-space operator can be interpreted as a jump process on the mesh whose invariant measure is precisely the cell approximation of the Boltzmann distribution of the original process. Moreover the resulting jump process preserves the detailed balance property of the original stochastic process.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1ac50e2c21ef31dd94ba538fdec4caa2 https://doi.org/10.4310/cms.2011.v9.n4.a6 Zobrazit plný text záznamu