Metastability in Interacting Nonlinear Stochastic Di ...

stochastic di erential equations, interacting di usions, transitions times, most probable transition paths, large deviations, Wentzell-Freidlin theory, di usive coupling, synchronisation, metastability,

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Introduction to Stochastic Processes - Lecture Notes

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Introduction to Stochastic Processes ... 3 Stochastic Processes 26 3.1 The canonical probability space ...

  Processes, Probability, Stochastic, Stochastic processes

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Analysis of Multiscale Methods for Stochastic Di erential Equations WEINAN E ... ERIC VANDEN-EIJNDEN Courant Institute Abstract We analyze a class of numerical schemes proposed in [25] for stochastic di erential equations with multiple time-scales. Both advective and di usive time-scales are con- ... in the limit of " ! 0 is a stochastic di ...

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One goal of the lecture is to study stochastic di erential equations (SDE’s). So let us start with a (hopefully) motivating example: Assume that X t is the share price of a company at time t 0 where we assume without loss of generality that X 0:= 1. To get an idea of the dynamics of X let us

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