Stochastic Modelling and Simulation with Switches

Des Higham (Strathclyde)

Thursday 31st January, 2008 16:00-17:00 Mathematics building, room 515


To allow for abrupt and unpredictable changes to the dynamics of a system, models are now being derived that incorporate a switch. Given a collection of stochastic differential equations (SDEs), a switch, taking the form of an independent continuous time Markov chain, can determine which SDE is currently active. Important examples arise in mathematical finance and systems biology. I will look at two topics: (a) stability analysis of numerical methods, and (b) modelling/simulation issues for gene regulation. This includes joint work with Somkid Intep, Raya Khanin, Xuerong Mao and Chenggui Yuan.

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