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An analysis of noise propagation in the multiscale simulation of coarse Fokker-Planck equations

Yves Frederix, Giovanni Samaey, Dirk Roose (2011)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

We consider multiscale systems for which only a fine-scale model describing the evolution of individuals (atoms, molecules, bacteria, agents) is given, while we are interested in the evolution of the population density on coarse space and time scales. Typically, this evolution is described by a coarse Fokker-Planck equation. In this paper, we consider a numerical procedure to compute the solution of this Fokker-Planck equation directly on the coarse level, based on the estimation of the unknown...

An analysis of noise propagation in the multiscale simulation of coarse Fokker-Planck equations

Yves Frederix, Giovanni Samaey, Dirk Roose (2011)

ESAIM: Mathematical Modelling and Numerical Analysis

We consider multiscale systems for which only a fine-scale model describing the evolution of individuals (atoms, molecules, bacteria, agents) is given, while we are interested in the evolution of the population density on coarse space and time scales. Typically, this evolution is described by a coarse Fokker-Planck equation. In this paper, we consider a numerical procedure to compute the solution of this Fokker-Planck equation directly on the coarse level, based on the estimation of the unknown...

An averaging principle for stochastic evolution equations. II.

Bohdan Maslowski, Jan Seidler, Ivo Vrkoč (1991)

Mathematica Bohemica

In the present paper integral continuity theorems for solutions of stochastic evolution equations of parabolic type on unbounded time intervals are established. For this purpose, the asymptotic stability of stochastic partial differential equations is investigated, the results obtained being of independent interest. Stochastic evolution equations are treated as equations in Hilbert spaces within the framework of the semigroup approach.

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