LMCC Workshop on Modeling and Simulation of multi-scale and multi-physics systems location:Leuven, BE date:8-9 September 2009
We consider multiscale stochastic systems with multiple time scales. A numerical procedure is presented to directly compute the evolution of the probability density of the slow components of the system, typically described
by a Fokker-Planck equation. This equation is discretized on a coarse mesh and the unknown parameters (drift and diffusion) are estimated using appropriately chosen realizations of the full multiscale system at each grid point and in each time step. We investigate stability of the procedure and present the results of an analysis of the propagation of the estimation error in the numerical solution of the Fokker-Planck equation.