Coarse Graining of Nonreversible Stochastic Differential Equations: Quantitative Results and Connections to Averaging

DOI10.1137/19M1299852zbMath1447.35028arXiv1911.06081OpenAlexW3035726048MaRDI QIDQ5119982

Upanshu Sharma, Carsten Hartmann, Lara Neureither

Publication date: 9 September 2020

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.06081

zbMATH Keywords

relative entropyconditional expectationoptimal predictionaveraging principleWasserstein distanceslow-fast systemseffective dynamicsnonreversible diffusions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic behavior of solutions to PDEs (35B40) Singular perturbations in context of PDEs (35B25) Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) PDEs with randomness, stochastic partial differential equations (35R60) Second-order parabolic equations (35K10)

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Uses Software

• Flury

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