Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise

DOI10.1007/s10543-020-00804-5zbMath1455.65015arXiv1805.10219MaRDI QIDQ2216480

Giovanni Samaey, Kristian Debrabant, Przemysław Zieliński

Publication date: 16 December 2020

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.10219

zbMATH Keywords

stability analysis; Kullback-Leibler divergence; stiff stochastic differential equations; micro-macro simulations; entropy optimisation

Mathematics Subject Classification ID

65L20: Stability and convergence of numerical methods for ordinary differential equations

35R60: PDEs with randomness, stochastic partial differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Uses Software

• AdResS
• Python