Apr 2015-Mar 2016

Math-Fi seminar on 9 Apr

2015.04.02 Thu up
  • Date : 9 Apr. (Thu)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30-18:00
  • Speaker: Masanori Koyama (Kyoto University)
  • Title: Weak analysis and MLMC for the system of interacting Poisson Processes
  • Abstract: In the simulation of the Biochemical reactions involving small number of particles, the main tool in its simulation study is Poisson process. In this talk I will discuss the methods of simulations for the stochastic jump processes,  in particular of the processes generated by finite set of interacting inhomogeneous Poisson Processes. Using random time change representation I will briefly describe the analogue of trapezoidal Euler Maruyama for the inhomogeneous Poisson processes. I will also describe a particular challenge that one must face in the MLMC for the Poisson processes. More specifically, I will explain how the most intuitive coupling fails in the MLMC of the Poisson Processes, and show the asymptotic relationship between the intuitive coupling and the coupling that works.

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