Session I.5 - Geometric Integration and Computational Mechanics
Poster
Weak approximation of stochastic differential equations
Leroy Alix
University of Edinburgh, Uk - This email address is being protected from spambots. You need JavaScript enabled to view it.
The work focussed on weak approximation of stochastic differential equation and develop a method of computing solutions of Langevin dynamics using variable stepsize. The method assume a knowledge of the problem allowing to establish a good `monitor function' which locates points of rapid change in solutions of stochastic differential equations. Using time-transformation we show that it is possible to integrate a rescaled system using fixed-stepsize numerical discretization effectively placing more timesteps where needed.