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The bias of fluid approximation: Poisson equation, averaging methods and two-timescale processes
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Descriptif
Fluid approximation often provide a good tool to study a stochastic process. In this talk, I will review tools that are used to compute the error made when using fluid approximations. I will introduce the notion of generators and how to compare them. This will lead us to talk about Poisson equation and Stein’s method. Finally, I will apply this to two-timescale processes and show how to use this to guarantee the accuracy of time-averaging methods.
Intervention / Responsable scientifique
Thème
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