Error estimation on projective integration of expensive multiscale stochastic simulation

DOI10.1142/9789811200359_0011MaRDI QIDQ5038247zbMATH OpenOpenAlexFDO

Authors Xiaopeng Chen, A. J. Roberts

Publication date 30 September 2022

Published in Stochastic PDEs and Modelling of Multiscale Complex System (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789811200359_0011

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Point estimation (62F10) Monte Carlo methods (65C05)

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Cited in

(5)

• On HMM-like integrators and projective integration methods for systems with multiple time scales
• On convergence of the projective integration method for stiff ordinary differential equations
• Projective integration of expensive stochastic processes
• Maximum likelihood estimation for symmetric -stable Ornstein-Uhlenbeck processes
• Strong convergence of projective integration schemes for singularly perturbed stochastic differential systems

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