Explicit multiscale numerical method for super-linear slow-fast stochastic differential equations

DOI10.1016/J.SPA.2025.104653MaRDI QIDQ6966284zbMATH OpenFDO

Authors Yuanping Cui, Xiaoyue Li, Xuerong Mao

Publication date 30 June 2025

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPA.2025.104653

zbMATH Keywords

\(p\)-th momentexplicit multiscale schemeslow-fast stochastic differential equationsstrong convergencesuper-linearity

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

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• Strong convergence in the infinite horizon of numerical methods for stochastic differential equations

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