Analysis of multiscale methods for stochastic dynamical systems driven by \alpha-stable processes

DOI10.1016/J.AML.2022.108462MaRDI QIDQ6339220arXivFDO

Authors Yanjie Zhang, Xiao Wang, Zi-bo Wang, Jinqiao Duan

Publication date 22 April 2020

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.AML.2022.108462

Mathematics Subject Classification ID

Stable stochastic processes (60G52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic models, generic numerical methods in probability and statistics (65C20)

arXiv classification

math.DSmath.PR

Abstract: In this paper, we first analyze the strong and weak convergence of projective integration methods for multiscale stochastic dynamical systems driven by $alpha$-stable processes, which are used to estimate the effect that the fast components have on slow ones. Then we obtain the $p$th moment error bounds between the solution of slow component produced by projective integration method and the solution of effective system with $pinleft(1,alphaight)$. Finally, we corroborate our analytical results through a specific numerical example.

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