SEMINAR: Imperial College London
PARTICLE REPRESENTATIONS FOR CONTINUUM MODELS
Prof Thomas Kurtz
University of Wisconsin - Madison
Wednesday 4th July, 2PM - 3PM
Institute for Mathematical Sciences
53 Prince's Gate, South Kensington Campus
http://www.imperial.ac.uk/images/mappdfs/sk-map.pdf
Many stochastic and deterministic models are derived as continuum limits of
discrete stochastic systems as the size of the systems tends to infinity.
Discrete “particles” are each assigned a small mass and the limiting “mass
distribution”, typically characterized as a solution of a deterministic or
stochastic partial differential equation, gives the desired model. A number of
examples will be described in which keeping the discrete particles in the limit
provides a useful tool for justifying the limit and analyzing the limiting
model. Examples include derivation of fluid models for internet protocols,
many-server queueing approximations, models of stock prices set by infinitely
many competing traders, and consistency of numerical schemes for filtering
equations.
ALL WELCOME.
|