Stochastic ordinary differential equations in applied and computational mathematics

Using concrete examples, we discuss the current and potential use of stochastic ordinary differential equations (SDEs) from the perspective of applied and computational mathematics. Assuming only a minimal background knowledge in probability and stochastic processes, we focus on aspects that distinguish SDEs from their deterministic counterparts. To illustrate a multiscale modelling framework, we explain how SDEs arise naturally as diffusion limits in the type of discrete-valued stochastic models used in chemical kinetics, population dynamics, and, most topically, systems biology. We outline some key issues in existence, uniqueness and stability that arise when SDEs are used as physical models, and point out possible pitfalls. We also discuss the use of numerical methods to simulate trajectories of an SDE and explain how both weak and strong convergence properties are relevant for highly-efficient multilevel Monte Carlo simulations. We flag up what we believe to be key topics for future research, focussing especially on nonlinear models, parameter estimation, model comparison and multiscale simulation

Black-Scholes option valuation for scientific computing students

Mathematical finance forms a modern, attractive source of examples and case studies for classes in scientific computation. I will show here how the Nobel Prize winning Black-Scholes option valuation theory can be used to motivate exercises in Monte Carlo simulation, matrix computation and numerical methods for partial differential equations

Dynamical Systems to Monitor Complex Networks in Continuous Time

In many settings it is appropriate to treat the evolution of pairwise interactions over continuous time. We show that new Katz-style centrality measures can be derived in this context via solutions to a nonautonomous ODE driven by the network dynamics. This allows us to identify and track, at any resolution, the most influential nodes in terms of broadcasting and receiving information through time dependent links. In addition to the classical notion of attenuation across edges used in the static Katz centrality measure, the ODE also allows for attenuation over time, so that real time "running measures" can be computed. With regard to computational efficiency, we explain why it is cheaper to track good receivers of information than good broadcasters. We illustrate the new measures on a large scale voice call network, where key features are discovered that are not evident from snapshots or aggregates

Infering and calibrating triadic closure in a dynamic network

In the social sciences, the hypothesis of triadic closure contends that new links in a social contact network arise preferentially between those who currently share neighbours. Here, in a proof-of-principle study, we show how to calibrate a recently proposed evolving network model to time-dependent connectivity data. The probabilistic edge birth rate in the model contains a triadic closure term, so we are also able to assess statistically the evidence for this effect. The approach is shown to work on data generated synthetically from the model. We then apply this methodology to some real, large-scale data that records the build up of connections in a business-related social networking site, and find evidence for triadic closure

Chemical master versus chemical langevin for first-order reaction networks

Markov jump processes are widely used to model interacting species in circumstances where discreteness and stochasticity are relevant. Such models have been particularly successful in computational cell biology, and in this case, the interactions are typically rst-order. The Chemical Langevin Equation is a stochastic dierential equation that can be regarded as an approximation to the underlying jump process. In particular, the Chemical Langevin Equation allows simulations to be performed more eectively. In this work, we obtain expressions for the rst and second moments of the Chemical Langevin Equation for a generic rst-order reaction network. Moreover, we show that these moments exactly match those of the under-lying jump process. Hence, in terms of means, variances and correlations, the Chemical Langevin Equation is an excellent proxy for the Chemical Master Equation. Our work assumes that a unique solution exists for the Chemical Langevin Equation. We also show that the moment matching re- sult extends to the case where a gene regulation model of Raser and O'Shea (Science, 2004) is replaced by a hybrid model that mixes elements of the Master and Langevin equations. We nish with numerical experiments on a dimerization model that involves second order reactions, showing that the two regimes continue to give similar results

Mathematical and computational modelling of post-transcriptional gene relation by micro-RNA

Mathematical models and computational simulations have proved valuable in many areas of cell biology, including gene regulatory networks. When properly calibrated against experimental data, kinetic models can be used to describe how the concentrations of key species evolve over time. A reliable model allows ‘what if’ scenarios to be investigated quantitatively in silico, and also provides a means to compare competing hypotheses about the underlying biological mechanisms at work. Moreover, models at different scales of resolution can be merged into a bigger picture ‘systems’ level description. In the case where gene regulation is post-transcriptionally affected by microRNAs, biological understanding and experimental techniques have only recently matured to the extent that we can postulate and test kinetic models. In this chapter, we summarize some recent work that takes the first steps towards realistic modelling, focusing on the contributions of the authors. Using a deterministic ordinary differential equation framework, we derive models from first principles and test them for consistency with recent experimental data, including microarray and mass spectrometry measurements. We first consider typical mis-expression experiments, where the microRNA level is instantaneously boosted or depleted and thereafter remains at a fixed level. We then move on to a more general setting where the microRNA is simply treated as another species in the reaction network, with microRNA-mRNA binding forming the basis for the post-transcriptional repression. We include some speculative comments about the potential for kinetic modelling to contribute to the more widespread sequence and network based approaches in the qualitative investigation of microRNA based gene regulation. We also consider what new combinations of experimental data will be needed in order to make sense of the increased systems-level complexity introduced by microRNAs

The sleekest link algorithm

How does Google decide which web sites are important? It uses an ingenious algorithm that exploits the structure of the web and is resistant to hacking. Here, we describe this PageRank algorithm, illustrate it by example, and show how it can be interpreted as a Jacobi iteration and a teleporting random walk. We also ask the algorithm to rank the undergraduate mathematics classes offered at the University of Strathclyde. PageRank draws upon ideas from linear algebra, graph theory and stochastic processes, and it throws up research-level challenges in scientific computing. It thus forms an exciting and modern application area that could brighten up many a mathematics class syllabus

A matrix perturbation view of the small world phenomenon

We use techniques from applied matrix analysis to study small world cutoff in a Markov chain. Our model consists of a periodic random walk plus uniform jumps. This has a direct interpretation as a teleporting random walk, of the type used by search engines to locate web pages, on a simple ring network. More loosely, the model may be regarded as an analogue of the original small world network of Watts and Strogatz [Nature, 393 (1998), pp. 440-442]. We measure the small world property by expressing the mean hitting time, averaged over all states, in terms of the expected number of shortcuts per random walk. This average mean hitting time is equivalent to the expected number of steps between a pair of states chosen uniformly at random. The analysis involves nonstandard matrix perturbation theory and the results come with rigorous and sharp asymptotic error estimates. Although developed in a different context, the resulting cutoff diagram agrees closely with that arising from the mean-field network theory of Newman, Moore, and Watts [Phys. Rev. Lett., 84 (2000), pp. 3201-3204]

Zero, one and two-switch models of gene regulation

We compare a hierarchy of three stochastic models in gene regulation. In each case, genes produce mRNA molecules which in turn produce protein. The simplest model, as described by Thattai and Van Oudenaarden (Proc. Nat. Acad. Sci., 2001), assumes that a gene is always active, and uses a first-order chemical kinetics framework in the continuous-time, discrete-space Markov jump (Gillespie) setting. The second model, proposed by Raser and O'Shea (Science, 2004), generalizes the first by allowing the gene to switch randomly between active and inactive states. Our third model accounts for other effects, such as the binding/unbinding of a transcription factor, by using two independent on/off switches operating in AND mode. We focus first on the noise strength, which has been defined in the biological literature as the ratio of the variance to the mean at steady state. We show that the steady state variance in the mRNA and protein for the three models can either increase or decrease when switches are incorporated, depending on the rate constants and initial conditions. Despite this, we also find that the overall noise strength is always greater when switches are added, in the sense that one or two switches are always noisier than none. On the other hand, moving from one to two switches may either increase or decrease the noise strength