ANALYSIS OF MULTISCALE METHODS FOR STOCHASTIC DYNAMICAL SYSTEMS WITH MULTIPLE TIME SCALES

作者：Liu Di^*

来源：Multiscale Modeling and Simulation, 2010, 8(3): 944-964.

DOI：10.1137/090750664

• stochastic differential equations
• time scale separation
• multiscale methods

We prove the convergence of a class of numerical schemes for stochastic dynamical systems with well-separated time scales. A sharp error estimate for the schemes is provided. The optimality of the convergence rate is illustrated through examples.

• 出版日期2010