Analysis of a micro-macro acceleration method with minimum relative entropy moment matching
DOI10.1016/j.spa.2019.10.008MaRDI QIDQ2175337
Tony Lelièvre, Giovanni Samaey, Przemysław Zieliński
Publication date: 29 April 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.01740
weak convergence; Kullback-Leibler divergence; stiff stochastic differential equations; micro-macro simulations; entropy optimisation
62E17: Approximations to statistical distributions (nonasymptotic)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
94A17: Measures of information, entropy
65J22: Numerical solution to inverse problems in abstract spaces
