Analysis of Multiscale Methods for Stochastic Dynamical Systems with Multiple Time Scales

DOI10.1137/090750664zbMath1202.60114OpenAlexW2010050244MaRDI QIDQ2786359

Di Liu

Publication date: 22 September 2010

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

Full work available at URL: https://doi.org/10.1137/090750664

zbMATH Keywords

stochastic differential equationsmultiscale methodstime scale separation

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Multiple scale methods for ordinary differential equations (34E13)

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Explicit Stabilized Multirate Method for Stiff Stochastic Differential Equations ⋮ Reduction for Stochastic Biochemical Reaction Networks with Multiscale Conservations ⋮ \(L^{p}\) (\(p>2\))-strong convergence of multiscale integration scheme for jump-diffusion systems ⋮ Strong convergence rate of principle of averaging for jump-diffusion processes ⋮ Stability of singularly perturbed nonlinear stochastic hybrid systems ⋮ On convergence of higher order schemes for the projective integration method for stiff ordinary differential equations

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