Variance Reduction for the Equation‐Free Simulation of Multiscale Stochastic Systems

DOI10.1137/060650635zbMath1144.60047OpenAlexW2079536072MaRDI QIDQ5454227

Anastasia Papavasiliou, Ioannis G. Kevrekidis

Publication date: 28 March 2008

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

Full work available at URL: https://doi.org/10.1137/060650635

zbMATH Keywords

variance reductioncontrol variateequation-freeprojective integrationstochastic multiscale methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Multiple scale methods for ordinary differential equations (34E13)

Related Items (4)

Convergence of Equation-Free Methods in the Case of Finite Time Scale Separation with Application to Deterministic and Stochastic Systems ⋮ Explicit Stabilized Multirate Method for Stiff Stochastic Differential Equations ⋮ A combined multiscale finite element method based on the LOD technique for the multiscale elliptic problems with singularities ⋮ Constraint energy minimizing generalized multiscale finite element method

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