Stochastic process

About: Stochastic process is a research topic. Over the lifetime, 31227 publications have been published within this topic receiving 898736 citations. The topic is also known as: random process & stochastic processes.

Nested stochastic simulation algorithm for chemical kinetic systems with disparate rates

Abstract: An efficient simulation algorithm for chemical kinetic systems with disparate rates is proposed. This new algorithm is quite general, and it amounts to a simple and seamless modification of the classical stochastic simulation algorithm (SSA), also known as the Gillespie [J. Comput. Phys. 22, 403 (1976); J. Phys. Chem. 81, 2340 (1977)] algorithm. The basic idea is to use an outer SSA to simulate the slow processes with rates computed from an inner SSA which simulates the fast reactions. Averaging theorems for Markov processes can be used to identify the fast and slow variables in the system as well as the effective dynamics over the slow time scale, even though the algorithm itself does not rely on such information. This nested SSA can be easily generalized to systems with more than two separated time scales. Convergence and efficiency of the algorithm are discussed using the established error estimates and illustrated through examples.

Model Approximation for Fuzzy Switched Systems With Stochastic Perturbation

Abstract: In this paper, the model approximation problem is investigated for a Takagi–Sugeno fuzzy switched system with stochastic disturbance. For a high-order considered system, our attention is focused on the construction of a reduced-order model, which not only approximates the original system well with a Hankel-norm performance but translates it into a lower dimensional fuzzy switched system as well. By using the average dwell time approach and the piecewise Lyapunov function technique, a sufficient condition is first proposed to guarantee the mean-square exponential stability with a Hankel-norm error performance for the error system. The model approximation is then converted into a convex optimization problem by using a linearization procedure. Finally, simulations are provided to illustrate the effectiveness of the proposed theory.

Moment-closure approximations for mass-action models

Abstract: Although stochastic population models have proved to be a powerful tool in the study of process generating mechanisms across a wide range of disciplines, all too often the associated mathematical development involves nonlinear mathematics, which immediately raises difficult and challenging analytic problems that need to be solved if useful progress is to be made. One approximation that is often employed to estimate the moments of a stochastic process is moment closure. This approximation essentially truncates the moment equations of the stochastic process. A general expression for the marginal- and joint-moment equations for a large class of stochastic population models is presented. The generalisation of the moment equations allows this approximation to be applied easily to a wide range of models. Software is available from http://pysbml.googlecode.com/ to implement the techniques presented here.