Convergence analysis for minimum action methods coupled with a finite difference method
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2021
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866915836008071168 |
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| author | Hong, Jialin Jin, Diancong Sheng, Derui |
| author_facet | Hong, Jialin Jin, Diancong Sheng, Derui |
| contents | The minimum action method (MAM) is an effective approach to numerically solving minimums and minimizers of Freidlin--Wentzell (F-W) action functionals, which is used to study the most probable transition path and probability of the occurrence of transitions for stochastic differential equations (SDEs) with small noise. In this paper, we focus on MAMs based on a finite difference method, and present the convergence analysis of minimums and minimizers of the discrete F-W action functional. The main result shows that the convergence orders of the minimum of the discrete F-W action functional in the cases of multiplicative noises and additive noises are $1/2$ and $1$, respectively. Our main result also reveals the convergence of the stochastic $θ$-method for SDEs with small noise in terms of large deviations. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2102_04061 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Convergence analysis for minimum action methods coupled with a finite difference method Hong, Jialin Jin, Diancong Sheng, Derui Probability Numerical Analysis The minimum action method (MAM) is an effective approach to numerically solving minimums and minimizers of Freidlin--Wentzell (F-W) action functionals, which is used to study the most probable transition path and probability of the occurrence of transitions for stochastic differential equations (SDEs) with small noise. In this paper, we focus on MAMs based on a finite difference method, and present the convergence analysis of minimums and minimizers of the discrete F-W action functional. The main result shows that the convergence orders of the minimum of the discrete F-W action functional in the cases of multiplicative noises and additive noises are $1/2$ and $1$, respectively. Our main result also reveals the convergence of the stochastic $θ$-method for SDEs with small noise in terms of large deviations. |
| title | Convergence analysis for minimum action methods coupled with a finite difference method |
| topic | Probability Numerical Analysis |
| url | https://arxiv.org/abs/2102.04061 |