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

DOI10.1137/060650635MaRDI QIDQ5454227zbMATH OpenOpenAlexFDO

Authors Anastasia Papavasiliou, I. 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

control variateequation-freeprojective integrationstochastic multiscale methodsvariance reduction

Mathematics Subject Classification ID

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

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Cited in

(6)

• Constraint energy minimizing generalized multiscale finite element method
• A combined multiscale finite element method based on the LOD technique for the multiscale elliptic problems with singularities
• 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
• ATLAS: a geometric approach to learning high-dimensional stochastic systems near manifolds
• A CutFE-LOD method for the multiscale elliptic problems on complex domains

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