Repository: Freie Universität Berlin, Math Department

A Structure-preserving numerical discretization of reversible diffusions

Latorre, J.C. and Metzner, Ph. and Hartmann, C. and Schütte, Ch. (2011) A Structure-preserving numerical discretization of reversible diffusions. Commun. Math. Sci. , 9 (4). pp. 1051-1072.

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Official URL: http://www.intlpress.com/CMS/p/2011/issue9-4/CMSV9...

Abstract

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.

Item Type:Article
Subjects:Mathematical and Computer Sciences > Mathematics > Numerical Analysis
Divisions:Department of Mathematics and Computer Science > Institute of Mathematics
Department of Mathematics and Computer Science > Institute of Mathematics > Cellular Mechanics Group
Department of Mathematics and Computer Science > Institute of Mathematics > BioComputing Group
ID Code:896
Deposited By:Carsten Hartmann
Deposited On:20 Apr 2010 20:28
Last Modified:26 Sep 2011 00:28

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