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A Structure-preserving numerical discretization of reversible diffusions.

Please always quote using this URN:urn:nbn:de:0296-matheon-7107
  • 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.

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Metadaten
Author:Juan Cristobal Latorre Biagini, Philipp Metzner, Carsten Hartmann, Christof Schütte
URN:urn:nbn:de:0296-matheon-7107
Referee:Christof Schütte
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2010/03/09
Release Date:2010/03/09
Institute:Freie Universität Berlin
Technische Universität Berlin
Zuse Institute Berlin (ZIB)
Preprint Number:717
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