Projective integration of expensive stochastic processes

DOI10.21914/ANZIAMJ.V52I0.3764zbMATH Open1390.65049OpenAlexW1728969840MaRDI QIDQ4639243FDOQ4639243

Authors: Yiaopeng Chen, I. G. Kevrekidis, A. J. Roberts 

Publication date: 8 May 2018

Published in: ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21914/anziamj.v52i0.3764

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zbMATH Keywords

maximum likelihood estimationstochastic differential equationsstochastic processprojective integration

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Cited In (10)

• On convergence of the projective integration method for stiff ordinary differential equations
• Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise
• Error estimation on projective integration of expensive multiscale stochastic simulation
• Equation free projective integration: a multiscale method applied to a plasma ion acoustic wave
• A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
• Coarse projective kMC integration: Forward/reverse initial and boundary value problems
• Projective and coarse projective integration for problems with continuous symmetries
• On HMM-like integrators and projective integration methods for systems with multiple time scales
• Strong convergence of projective integration schemes for singularly perturbed stochastic differential systems
• Maximum likelihood estimation for symmetric \(\alpha\)-stable Ornstein-Uhlenbeck processes

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