Professor Andrew Stuart
Mathematics, Warwick University
Derivation of SDEs From Deterministic Evolutions
Abstract: We give an overview of the derivation of a variety of stochastic differential equations (SDEs) from deterministic problems with random initial data. Both hard sphere molecular models and systems of coupled oscillators will be studied. In both cases the deterministic problem will be of large or infinite dimension, with the underlying SDE arising from projection onto a low dimensional space.
In discussing coupled oscillators we will give a construction of Brownian Motion which may be viewed as a Monte Carlo approximation of a Fourier integral representation of the Weiner process. This will facilitate the construction of SDEs from deterministic problems, but is also of interest in its own right.
| Zeit: | Freitag, 14. Juli 2000, 14.15 Uhr |
| Ort: | FU Berlin, Arnimallee 2-6, Raum 032 im EG |