Convergence and stability of a micro-macro acceleration method: linear slow-fast stochastic differential equations with additive noise

DOI10.1016/j.cam.2019.112490zbMath1458.65011arXiv1901.07405OpenAlexW2979532423WikidataQ115359796 ScholiaQ115359796MaRDI QIDQ2223803

Giovanni Samaey, Hannes Vandecasteele, Przemysław Zieliński

Publication date: 3 February 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.07405

zbMATH Keywords

convergence analysisstability analysisKullback-Leibler divergencestiff stochastic differential equationsentropy minimizationmicro-macro acceleration methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30)

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A toolbox of equation-free functions in Matlab/Octave for efficient system level simulation

Uses Software

• S-ROCK

Cites Work

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