Efficiency of a Micro-Macro Acceleration Method for Scale-Separated Stochastic Differential Equations

DOI10.1137/19M1246158zbMath1459.65015arXiv1902.08045MaRDI QIDQ5150067

Giovanni Samaey, Przemysław Zieliński, Hannes Vandecasteele

Publication date: 9 February 2021

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

Full work available at URL: https://arxiv.org/abs/1902.08045

zbMATH Keywords

stochastic differential equations; Monte Carlo methods; stiff differential equations; micro-macro acceleration

Mathematics Subject Classification ID

65C05: Monte Carlo methods

65C30: Numerical solutions to stochastic differential and integral equations

65L04: Numerical methods for stiff equations

Uses Software

• MuPAD
• S-ROCK