Multiscale Integration Schemes for Jump-Diffusion Systems

DOI10.1137/070693473MaRDI QIDQ3183331zbMATH OpenOpenAlexFDO

Authors Dror Givon, I. G. Kevrekidis

Publication date 19 October 2009

Published in Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL https://digital.library.unt.edu/ark:/67531/metadc893036/

zbMATH Keywords

averagingjump-diffusion processesmultiscale integration schemes

Mathematics Subject Classification ID

Multiple scale methods for ordinary differential equations (34E13) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cited in

(7)

• \(L^{p}\) (\(p>2\))-strong convergence of multiscale integration scheme for jump-diffusion systems
• Strong averaging principle for two-time-scale stochastic McKean-Vlasov equations
• Stochastic averaging principle for two-time-scale jump-diffusion SDEs under the non-Lipschitz coefficients
• Analysis of multiscale methods for stochastic differential equations
• A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations
• A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion
• Explicit multiscale numerical method for super-linear slow-fast stochastic differential equations

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