A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations

DOI10.1137/16M1066658zbMath1378.65031arXiv1511.06171MaRDI QIDQ4594904

Giovanni Samaey, Kristian Debrabant, Przemysław Zieliński

Publication date: 27 November 2017

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.06171

zbMATH Keywords

algorithm; convergence; stochastic differential equations; numerical experiment; entropy optimization; multi-scale modeling; micro-macro simulations; finitely extensible nonlinear elastic dumbbells; accelerated Monte Carlo

Mathematics Subject Classification ID

65C05: Monte Carlo methods

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

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

65C30: Numerical solutions to stochastic differential and integral equations