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Stochastic Numerical Analysis of Nonlinear Diffusions

Research Project

Project/Area Number 09640263
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field General mathematics (including Probability theory/Statistical mathematics)
Research InstitutionKanazawa University

Principal Investigator

OGAWA Shigeyoshi  Kanazawa Univ., Fac.of Tech., Professor, 工学部, 教授 (80101137)

Co-Investigator(Kenkyū-buntansha) TAKASHIMA Keizo  Okayama-Rika Univ., Dept.of Math., Professor, 理学部, 教授 (00137184)
HIGUCHI Yasunari  Kobe Univ., Dept.of Math., Professor, 理学部, 教授 (60112075)
NAKAOKA Akira  Kyoto Inst.of Tech., Dept.of Math., Professor, 工芸学部, 教授 (90027920)
KANAGAWA Shuuya  Kanazawa Univ., Fac.of Tech., Professor, 工学部, 教授 (50185899)
TSUCHIYA Masaaki  Kanazawa Univ., Fac.of Tech., Professor, 工学部, 教授 (50016101)
Project Period (FY) 1997 – 1998
Project Status Completed (Fiscal Year 1998)
Budget Amount *help
¥3,600,000 (Direct Cost: ¥3,600,000)
Fiscal Year 1998: ¥1,500,000 (Direct Cost: ¥1,500,000)
Fiscal Year 1997: ¥2,100,000 (Direct Cost: ¥2,100,000)
Keywordsnonlinear diffusion / SDE / SPDE / stochastic numerical analysis / random particle method / simulation / pseudo random numbers / SDEモデル / 多粒子系の力学 / Burgers like processes / 有限差分法
Research Abstract

In this research plan we have mainly concerned with the theoretical study of those problems (eg. construction of the stochastic model, study on the influence of the quality of random numbers to the simulation scheme, etc), that can arrise in the development of probabilistic simulation schemes of nonlinear diffusion phenomena.
Among those nonlinear phenomena we picked up some typical problems in mathematicasl physics, such as ; (A) Reaction-Diffusion system, and (B) Motion of Nonlinear fluids , and we aimed to establish the model of many-particles system to those phenomena and to develop efficient probabilistic simulation methods based on our stochastic (SDE, SPDE) models.
Through the research activities of two years period, we have got many interesting and important results, theoretical and practical in both senses. Most of them have been or going to be published in appropriate journals, while they have been also presented in Conferences or Workshops, international or domestic. Some of the publications (ie. re- or pre-prints of the articles as well as the abstracts of the conferences) are attached to the report of this research plan. Besides we have also made a contribution to this research domain by organizing two domestic Conferences, one at Kyushuu Univ. in Jan.of 1998, and another is at Kanazawa Univ. in Nov.of 1998 (both have been held with the colaboration of Prof H.Sugita of Kyushuu Univ).

Report

(3 results)
  • 1998 Annual Research Report   Final Research Report Summary
  • 1997 Annual Research Report
  • Research Products

    (27 results)

All Other

All Publications (27 results)

  • [Publications] S.Ogawa: "On the numerical simulation of nonlinear SDEs and Burgers like processes" Proc.of the Intern. Workshop on Turbulent DiHusion and Related Problems (統計数理研究所共同研究レポート99号). 99. 140-159 (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] 小川重義: "モンテカルロ法における乱数の質の影響について" 数理科学請究録1011「乱数とカオス」京都大数理解析研究所. 1011. 25-41 (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] S.Ogawa and A.Kohatsu-Higa: "Weak rate of convergence for an Euler scheme of nonlinear SDEs" Monte Carlo Me Hiods & Applications, VSP, Netherland. 3-4. 327-345 (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] 小川重義: "非線形SDEの数値解法に関する最近の話題" 数理科学請究録1032「確率数値解析に於ける諸問題,3」. 1032. 46-61 (1998)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] 金川秀也,田中哲: "擬似乱数の検定法とSDEの近似解の精度について" 数理科学請究録1032「確率数値解析に於ける諸問題,3」. 1032. 21-45 (1998)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] K.Takashima: "Random walk test of additive number generators" Proc.of the Intern. Workshop on Turbulent Diffusion and Popated Problems (統計数理研究所共同研究レポート99号). 99. 55-65 (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] 小川重義: "SDEの数値解析 Rokku Lectures in Mathematics" 神戸大学理学部数学教室to appear, 55 (1999)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Ogawa: "On the numerical simulation of nonlinear SDEs and Burgers like processes" Proc.of The Intern.Workshop on Turbulent Diffusions (ISM Joint Research Report No.99). No.9. 140-159 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Ogawa: ""On the influence of the quality of random numbers in the Monte-Carlo method" (in japanese)" Proc.Joint Research at RIMS. No.1011. 25-41 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Ogawa & A.Kohatsu-Higa: "Weak rate of convergence for an Euler scheme of nonlinear SDEs" Monte Carlo Methods and Appli. VSP,3-4. 327-345 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Ogawa: ""Recent topics in the numerical solution of nonlinear SDEs" (in japanese)" Proc.Joint Research at RIMS. No.1032. 46-61 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Kanagawa & T.Tanaka: ""On the statistical test of random numbers and the degree of precision of the numerical approximate solution for the SDE" (in japanese)" Proc.Joint Research at RIMS. No.1032. 21-45 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Takashima: "Random walk tests of additive number generators" Proc.of The In-tern.Workshop on Turbulent Diffusions (ISM Joint Research Report No.99). No.9. 55-65 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] Ogawa: Rokko Lectures in Mathematics, Kobe Univ.(to appear in). "Lecture note on the numerical solution of SDEs" (in japanese), 55 (1999)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1998 Final Research Report Summary
  • [Publications] S.Ogawa: "On the numerical simulation of nonlinear SDEs and Bangers like processes" Proc.of the Workshop on Turbulent Diffusion and Related Problems(統計数理研究所共同研究レポート99号). 99. 140-159 (1997)

    • Related Report
      1998 Annual Research Report
  • [Publications] 小川重義: "モンテカルロ法における乱数の負の影響について" 数理科学講究録1011「乱数とカオス」京都大数理解析研. 1011. 25-41 (1997)

    • Related Report
      1998 Annual Research Report
  • [Publications] S.Ogawa and A.Karatsu-Higa: "Weak rate of convegence for an Eules scheme of nonlinear SDEs" Monte Carlo Methods & Applications VSP. 3-4. 327-345 (1997)

    • Related Report
      1998 Annual Research Report
  • [Publications] 小川重義: "非線形SDEの数値解法に関する最近の話題" 数理科学講究録1032「確率数値解析における諸問題3」. 1032. 46-61 (1998)

    • Related Report
      1998 Annual Research Report
  • [Publications] 金川秀也,田中哲: "疑似乱数の検定法とSDEの近似解の制度について" 数理科学講究録1032「確率数値解析における諸問題3」. 1032. 21-45 (1998)

    • Related Report
      1998 Annual Research Report
  • [Publications] K.Takashima: "Random wolk tests of additive number generators" Proc.of the Workshop on Turbulent Diffusion and Related Problems(統計数理研究所共同研究レポート99). 99. 55-65 (1997)

    • Related Report
      1998 Annual Research Report
  • [Publications] 小川重義: "SDEの数値解析(to appear)Rokko Lecfarts in Mathematics" 神戸大学理学部数学教室, 55 (1999)

    • Related Report
      1998 Annual Research Report
  • [Publications] S.Ogawa with A.Kohatsu-Higa: "Weak rate of convergence for an Euler scheme of nontinear SDFs" Monte Carlo Meihuds and Applications VSP Netherland. 3・4. 327-345 (1997)

    • Related Report
      1997 Annual Research Report
  • [Publications] 小川 重義: "非線形SDEの数値解法に関する最近の話題" 数理解析研論究録1032号「確率数値解析における諸問題3」. 1032(印刷中). (1998)

    • Related Report
      1997 Annual Research Report
  • [Publications] M.Tsuchiya: "Stability of the fundamental solution to the paralrolic oblique derivative problem" “Proc of 8th Intern.Colloquiumon Differential Equations". (印刷中). (1998)

    • Related Report
      1997 Annual Research Report
  • [Publications] Y.Higuchi: "Level set representation for Gibbs states and magnetic field processes" 'In“Trends in piubabilitt and related analysis"Etd by N.Kuno.N.R.Shich. 167-175 (1997)

    • Related Report
      1997 Annual Research Report
  • [Publications] 金川秀也・田中哲: "擬似乱数の検定法とSDEの近似解の精度について" 数理解析研論究録1032号「確率数値解析における諸問題3」. 1032(印刷中). (1998)

    • Related Report
      1997 Annual Research Report
  • [Publications] 高嶋 恵三: "Cellular Automaton 擬似乱数に対するRandom Walk検定" 数理解析研論究録1032号「確率数値解析における諸問題3」. 1032(印刷中). (1998)

    • Related Report
      1997 Annual Research Report

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Published: 1997-04-01   Modified: 2016-04-21  

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