Many interesting property properties of Markov processes are encoded in the transfer operator that is the solution operator of the underlying Fokker-Planck equation. On the other hand, for computational treatment a finite dimensional approximation of this operator is essential. We will present a novel Galerkin method that is based on a multigrid discretization of the state space of the process. Moreover, we will discuss properties of the approach that are desired for multigrid methods, in general, but usually difficult to guarantee.
Free University, Berlin
Tue, 11/09/2012 - 11:05am to 11:55am