Analysis of a micro-macro acceleration method with minimum relative entropy moment matching

DOI10.1016/J.SPA.2019.10.008OpenAlexW2981602389WikidataQ126994240 ScholiaQ126994240MaRDI QIDQ2175337FDOQ2175337

Giovanni Samaey, Przemysław Zieliński, Tony Lelièvre

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

zbMATH Keywords

Kullback-Leibler divergenceweak convergencestiff stochastic differential equationsmicro-macro simulationsentropy optimisation

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Measures of information, entropy (94A17) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical solution to inverse problems in abstract spaces (65J22)

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Cited In (5)

• Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise
• Analysis of a micro-macro acceleration method with minimum relative entropy moment matching
• Convergence and stability of a micro-macro acceleration method: linear slow-fast stochastic differential equations with additive noise
• Parareal computation of stochastic differential equations with time-scale separation: a numerical convergence study
• Efficiency of a Micro-Macro Acceleration Method for Scale-Separated Stochastic Differential Equations

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