Analysis of multiscale methods for stochastic differential equations
Analysis of multiscale methods for stochastic differential equations
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DOI：
10.1002/cpa.20088
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发表时间：
2005-11
影响因子：
3
通讯作者：
E. Weinan;Di Liu;E. Vanden-Eijnden
中科院分区：
文献类型：
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作者：
E. Weinan;Di Liu;E. Vanden-Eijnden
我们分析了[26]提出的一类针对多时间尺度随机微分方程的数值方案。平流和扩散时间尺度都被考虑。弱收敛定理和强收敛定理都已被证明。我们的大多数结果都是最优的。反过来，它们使我们能够对该方法的效率以及最佳策略进行彻底的讨论。 © 2005 Wiley 期刊公司。
We analyze a class of numerical schemes proposed [26] for stochastic differential equations with multiple time scales. Both advective and diffusive time scales are considered. Weak as well as strong convergence theorems are proven. Most of our results are optimal. They in turn allow us to provide a thorough discussion on the efficiency as well as optimal strategy for the method. © 2005 Wiley Periodicals, Inc.