| EPSRC Reference: |
GR/L82922/01 |
| Title: |
NUMERICAL SOLUTION OF STOCHASTIC DIFFERENTIAL EQUATIONS WITH SMALL NOISE |
| Principal Investigator: |
Suli, Professor E |
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| Department: |
Computer Science |
| Organisation: |
University of Oxford |
| Scheme: |
Standard Research (Pre-FEC) |
| Starts: |
01 April 1998 |
Ends: |
30 September 1998 |
Value (£): |
14,448
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| No relevance to Underpinning Sectors |
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Summary on Grant Application Form |
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The purpose of this work is to study the numerical solution of SDEs subject to small noise. The probability density function for a SDE satisfies a, possibly (hyperbolically-) degenerate, parabolic equation known as the Fokker-Planck equation; expected values of functionals of solutions of the SDE satisfy its formal adjoint, the Kolmogorov equation. For small noise, the parabolic term in these equations is small and a major challenge, which forms the core of this proposal, is to develop and analyse numerical methods which reproduce correct approximations to these equations without requiring unduly small discretization parameters in relation to the small noise parameter. Related problems arise in the numerical solution of convection-dominated diffusion problems and this well-developed theory will be built upon to develop numerical methods and their analysis for SDEs with small noise.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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| Project URL: |
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| Further Information: |
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| Organisation Website: |
http://www.ox.ac.uk |