Fluctuations in the heterogeneous multiscale methods for fast-slow systems

DOI10.1186/S40687-017-0112-2zbMATH Open1453.65204arXiv1601.02147OpenAlexW2962916299WikidataQ59612845 ScholiaQ59612845MaRDI QIDQ721963FDOQ721963

D. Kharzeev

Publication date: 20 July 2018

Published in: Research in the Mathematical Sciences (Search for Journal in Brave)

Abstract: How heterogeneous multiscale methods (HMM) handle fluctuations acting on the slow variables in fast-slow systems is investigated. In particular, it is shown via analysis of central limit theorems (CLT) and large deviation principles (LDP) that the standard version of HMM artificially amplifies these fluctuations. A simple modification of HMM, termed parallel HMM, is introduced and is shown to remedy this problem, capturing fluctuations correctly both at the level of the CLT and the LDP. Similar type of arguments can also be used to justify that the tau-leaping method used in the context of Gillespie's stochastic simulation algorithm for Markov jump processes also captures the right CLT and LDP for these processes.

Full work available at URL: https://arxiv.org/abs/1601.02147

zbMATH Keywords

central limit theoremlarge deviation principleheterogeneous multiscale methods

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Multiple scale methods for ordinary differential equations (34E13) Numerical methods for ordinary differential equations (65L99)

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Cited In (4)

• Diffusion approximation for fully coupled stochastic differential equations
• Time-periodic measures, random periodic orbits, and the linear response for dissipative non-autonomous stochastic differential equations
• Quantitative stability estimates for multiscale stochastic dynamical systems
• Averaging principle and normal deviations for multiscale stochastic systems

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