An analysis of noise propagation in the multiscale simulation of coarse Fokker-Planck equations

摘要: We consider multiscale systems for which only a fine-scale model describing the evolution of individuals (atoms, molecules, bacteria, agents) is given, while we are interested in population density on coarse space and time scales. Typically, this described by Fokker-Planck equation. In paper, numerical procedure to compute solution equation directly level, based estimation unknown parameters (drift diffusion) using appropriately chosen realizations fine-scale, individual-based system. As these might be space- time-dependent, performed every spatial discretization point at step. If stochastic, introduces noise level. investigate stability conditions presence present an analysis propagation error