Analysis of multiscale methods for stochastic differential equations
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Cites work
- Analysis of the heterogeneous multiscale method for ordinary differential equations
- scientific article; zbMATH DE number 44656 (Why is no real title available?)
- Numerical techniques for multi-scale dynamical systems with stochastic effects
- Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
- The heterogeneous multiscale methods
Cited in
(only showing first 100 items - show all)- A reduction method for multiple time scale stochastic reaction networks
- Weak order in averaging principle for stochastic wave equation with a fast oscillation
- Averaging principle for one dimensional stochastic Burgers equation
- Random dynamical systems: addressing uncertainty, nonlinearity and predictability
- \(L^{p}\) (\(p>2\))-strong convergence of multiscale integration scheme for jump-diffusion systems
- Methodological and computational aspects of parallel tempering methods in the infinite swapping limit
- Temporal upscaling in micromagnetism via heterogeneous multiscale methods
- On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence
- A computational strategy for multiscale systems with applications to Lorenz 96 model
- Sensitivity analysis based dimension reduction of multiscale models
- Averaging principle and normal deviations for multiscale stochastic systems
- Diffusion approximation for fully coupled stochastic differential equations
- Strong convergence order for slow-fast McKean-Vlasov stochastic differential equations
- Averaging principle for a stochastic coupled fast-slow atmosphere-ocean model
- Weak time discretization for slow-fast stochastic reaction-diffusion equations
- Strong and weak convergence rates for slow-fast stochastic differential equations driven by \(\alpha \)-stable process
- Weak and strong averaging principle for a stochastic coupled fast-slow atmosphere-ocean model with non-Lipschitz Lévy noise
- Analysis of multiscale methods for stochastic dynamical systems driven by -stable processes
- The averaging principle for stochastic differential equations driven by a Wiener process revisited
- Averaging principle for stochastic variational inequalities with application to PDEs with nonlinear Neumann conditions
- Discovery of slow variables in a class of multiscale stochastic systems via neural networks
- An averaging principle for slow-fast fractional stochastic parabolic equations on unbounded domains
- Particle filters with nudging in multiscale chaotic systems: with application to the Lorenz '96 atmospheric model
- Simply improved averaging for coupled oscillators and weakly nonlinear waves
- Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise
- The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model
- Strong averaging principle for two-time-scale stochastic McKean-Vlasov equations
- Quantitative stability estimates for multiscale stochastic dynamical systems
- Averaging principle for slow-fast stochastic differential equations with time dependent locally Lipschitz coefficients
- A decreasing step method for strongly oscillating stochastic models
- On convergence of higher order schemes for the projective integration method for stiff ordinary differential equations
- Parameter estimation for multiscale diffusions
- Stochastic 2-microlocal analysis
- Strong averaging principle for two-time-scale SDEs with non-Lipschitz coefficients
- A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
- Numerical techniques for multi-scale dynamical systems with stochastic effects
- Strong averaging principle for slow-fast stochastic partial differential equations with locally monotone coefficients
- Strong convergence rate for slow-fast stochastic differential equations with Markovian switching
- Analysis of multiscale methods for stochastic dynamical systems with multiple time scales
- Strong averaging principle for two-time-scale non-autonomous stochastic FitzHugh-Nagumo system with jumps
- Analysis of an HMM time-discretization scheme for a system of stochastic PDEs
- Explicit methods for stiff stochastic differential equations
- Oscillatory systems with three separated time scales: Analysis and computation
- Particle filtering in high-dimensional chaotic systems
- A multiscale method for highly oscillatory ordinary differential equations with resonance
- Multiscale Integration Schemes for Jump-Diffusion Systems
- \(L^{p}\)-strong convergence of the averaging principle for slow-fast SPDEs with jumps
- Effectiveness of implicit methods for stiff stochastic differential equations
- Optimal spatiotemporal reduced order modeling. I: Proposed framework
- scientific article; zbMATH DE number 139949 (Why is no real title available?)
- Numerical methods for stochastic partial differential equations with multiple scales
- Strong and weak orders in averaging for SPDEs
- Numerical methods for stochastic simulation: when stochastic integration meets geometric numerical integration
- Multiscale stochastic modelling of gene expression
- Analysis of multiscale integrators for multiple attractors and irreversible Langevin samplers
- Efficient Galerkin solution of stochastic fractional differential equations using second kind Chebyshev wavelets
- Spectral Methods for Multiscale Stochastic Differential Equations
- A multiscale method with patch for the solution of stochastic partial differential equations with localized uncertainties
- Numerical study of amplitude equations for SPDEs with degenerate forcing
- Perturbation-based inference for diffusion processes: obtaining effective models from multiscale data
- Stochastic modelling and diffusion modes for proper orthogonal decomposition models and small-scale flow analysis
- Derivative-Free Bayesian Inversion Using Multiscale Dynamics
- On Asymptotic Preserving Schemes for a Class of Stochastic Differential Equations in Averaging and Diffusion Approximation Regimes
- Stochastic averaging principle for two-time-scale jump-diffusion SDEs under the non-Lipschitz coefficients
- Explicit stabilized multirate method for stiff stochastic differential equations
- Coarse graining of nonreversible stochastic differential equations: quantitative results and connections to averaging
- Random batch algorithms for quantum Monte Carlo simulations
- Heterogeneous multiscale methods for stiff ordinary differential equations
- Local diffusion models for stochastic reacting systems: estimation issues in equation-free numerics
- MULTI-SCALE DYNAMICS IN STOCHASTIC DELAY DIFFERENTIAL EQUATIONS WITH MULTIPLICATIVE NOISE
- Small mass limit in mean field theory for stochastic N particle system
- Averaging principle and normal deviations for multi-scale stochastic hyperbolic-parabolic equations
- A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations
- Uniform strong and weak error estimates for numerical schemes applied to multiscale SDEs in a Smoluchowski-Kramers diffusion approximation regime
- Weak averaging principle for multiscale stochastic dynamical systems driven by stable processes
- A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion
- The order of convergence in the averaging principle for slow-fast systems of stochastic evolution equations in Hilbert spaces
- A path integral method for coarse-graining noise in stochastic differential equations with multiple time scales
- Asymptotic behavior of multiscale stochastic partial differential equations with Hölder coefficients
- Averaging principle for non‐Lipschitz fractional stochastic evolution equations with random delays modulated by two‐time‐scale Markov switching processes
- Nonlinear model reduction for slow-fast stochastic systems near unknown invariant manifolds
- Uniform error bounds for numerical schemes applied to multiscale SDEs in a Wong-Zakai diffusion approximation regime
- GANs training: A game and stochastic control approach
- Large deviations for Lévy diffusions in the small noise regime
- Effective Diffusions with Intertwined Structures
- Uniform weak error estimates for an asymptotic preserving scheme applied to a class of slow-fast parabolic semilinear SPDEs
- Averaging principle for McKean-Vlasov SDEs driven by FBMs
- Importance sampling in path space for diffusion processes with slow-fast variables
- Large deviation principle for multi-scale stochastic systems with monotone coefficients
- Homogenization principle and numerical analysis for fractional stochastic differential equations with different scales
- Averaging principle for multiscale forward-backward stochastic differential equations, with application to quasi-linear PDE's
- Nested smoothing algorithms for inference and tracking of heterogeneous multi-scale state-space systems
- Diffusion approximation and stability of stochastic differential equations with singular perturbation
- Strong convergence rate of principle of averaging for jump-diffusion processes
- Averaging principle for semilinear slow-fast rough partial differential equations
- Explicit multiscale numerical method for super-linear slow-fast stochastic differential equations
- Mixed slow-fast stochastic differential equations: averaging principle result
- Fluctuations in the heterogeneous multiscale methods for fast-slow systems
- Neural network approaches for variance reduction in fluctuation formulas
- A new framework for extracting coarse-grained models from time series with multiscale structure
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