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Title: Multiscale integration of Fokker-Planck equations
Authors: Frederix, Yves
Samaey, Giovanni
Roose, Dirk #
Issue Date: Sep-2009
Conference: Workshop Coping with Complexity: Model Reduction and Data Analysis location:Ambleside, Lake District, UK date:31 August - 4 September 2009
Abstract: In this talk, we consider a class of multiscale stochastic system for which the evolution of the probability density for the coarse variable can be described by a convection-diffusion equation, the so-called Fokker-Planck equation. We present a multiscale procedure that builds on the equation-free and heterogeneous multiscale framework to numerically integrate this equation. To this end, we estimate the unknown parameters (drift and diffusion) in the macroscopic description using only appropriately chosen realizations of the full multiscale system. The solution of the Fokker-Planck equation is then computed via standard numerical methods. We also present stability and error bounds on the result as a function of the quality
of the estimation.
Publication status: published
KU Leuven publication type: IMa
Appears in Collections:Numerical Analysis and Applied Mathematics Section
# (joint) last author

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