Multiscale Integration Schemes for Jump-Diffusion Systems
نویسندگان
چکیده
منابع مشابه
Multiscale Integration Schemes for Jump-Diffusion Systems
We study a two-time-scale system of jump-diffusion stochastic differential equations. We analyze a class of multiscale integration methods for these systems, which, in the spirit of [1], consist of a hybridization between a standard solver for the slow components and short runs for the fast dynamics, which are used to estimate the effect that the fast components have on the slow ones. We obtain...
متن کاملImplicit–explicit Numerical Schemes for Jump–diffusion Processes
We study the numerical approximation of viscosity solutions for Parabolic Integro-Differential Equations (PIDE). Similar models arise in option pricing, to generalize the Black–Scholes equation, when the processes which generate the underlying stock returns may contain both a continuous part and jumps. Due to the non-local nature of the integral term, unconditionally stable implicit difference ...
متن کاملSymbolic Models for Retarded Jump-Diffusion Systems
In this paper, we provide for the first time an automated, correct-by-construction, controller synthesis scheme for a class of infinite dimensional stochastic hybrid systems, namely, hybrid stochastic retarded systems. First, we construct finite dimensional abstractions approximately bisimilar to original infinite dimensional stochastic systems having some stability property, namely, incrementa...
متن کاملAccuracy Analysis of Time Integration Schemes for Stiff Multiscale Problems
In the context of multiscale computations, techniques have recently been developed that enable microscopic simulators to perform macroscopic level tasks (equation-free multiscale computation). The main tool is the so-called coarse-grained time-stepper, which implements an approximation of the unavailable macroscopic time-stepper using only the microscopic simulator. Several schemes were develop...
متن کاملComparison of two integration schemes for a micropolar plasticity model
Micropolar plasticity provides the capability to carry out post-failure simulations of geo-structures due to microstructural considerations and embedded length scale in its formulation. An essential part of the numerical implementation of a micropolar plasticity model is the integration of the rate constitutive equations. Efficiency and robustness of the implementation hinge on the type of int...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Multiscale Modeling & Simulation
سال: 2008
ISSN: 1540-3459,1540-3467
DOI: 10.1137/070693473