Uniform error bounds for numerical schemes applied to multiscale SDEs in a Wong-Zakai diffusion approximation regime

DOI10.3934/JCD.2024009MaRDI QIDQ6192520zbMATH OpenFDO

Authors Charles-Edouard Bréhier

Publication date 11 March 2024

Published in Journal of Computational Dynamics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2208.00448

zbMATH Keywords

numerical schemesWong-Zakai approximationasymptotic preserving methodsmultiscale stochastic differential equationsuniformly accurate methods

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We study a family of numerical schemes applied to a class of multiscale systems of stochastic differential equations. When the time scale separation parameter vanishes, a well-known homogenization or Wong--Zakai diffusion approximation result states that the slow component of the considered system converges to the solution of a stochastic differential equation driven by a real-valued Wiener process, with Stratonovich interpretation of the noise. We propose and analyse schemes for effective approximation of the slow component. Such schemes satisfy an asymptotic preserving property and generalize the methods proposed in a recent article. We fill a gap in the analysis of these schemes and prove strong error estimates, which are uniform with respect to the time scale separation parameter.

Recommendations

• Uniform strong and weak error estimates for numerical schemes applied to multiscale SDEs in a Smoluchowski-Kramers diffusion approximation regime
• On Asymptotic Preserving Schemes for a Class of Stochastic Differential Equations in Averaging and Diffusion Approximation Regimes
• Uniform weak error estimates for an asymptotic preserving scheme applied to a class of slow-fast parabolic semilinear SPDEs
• Analysis of multiscale methods for stochastic differential equations
• scientific article; zbMATH DE number 16922

Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• A uniformly accurate scheme for the numerical integration of penalized Langevin dynamics
• Analysis of multiscale methods for stochastic differential equations
• Effectiveness of implicit methods for stiff stochastic differential equations
• Efficiency of a micro-macro acceleration method for scale-separated stochastic differential equations
• Equation-free, coarse-grained multiscale computation: enabling microscopic simulators to perform system-level analysis
• Monte-Carlo methods and stochastic processes. From linear to non-linear
• Multiscale Methods
• Numerical probability. An introduction with applications to finance
• On Asymptotic Preserving Schemes for a Class of Stochastic Differential Equations in Averaging and Diffusion Approximation Regimes
• Parareal computation of stochastic differential equations with time-scale separation: a numerical convergence study
• Spectral Methods for Multiscale Stochastic Differential Equations
• Stochastic numerics for mathematical physics
• Strong convergence of projective integration schemes for singularly perturbed stochastic differential systems
• Uniform strong and weak error estimates for numerical schemes applied to multiscale SDEs in a Smoluchowski-Kramers diffusion approximation regime
• Uniformly accurate schemes for drift-oscillatory stochastic differential equations

Cited in

(1)

• Uniform strong and weak error estimates for numerical schemes applied to multiscale SDEs in a Smoluchowski-Kramers diffusion approximation regime

This page was built for publication: Uniform error bounds for numerical schemes applied to multiscale SDEs in a Wong-Zakai diffusion approximation regime

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6192520)