Spectral Methods for Multiscale Stochastic Differential Equations
نویسندگان
چکیده
منابع مشابه
Analysis of Multiscale Methods for Stochastic Differential Equations
We analyze a class of numerical schemes proposed in [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. c © 2005 Wil...
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ژورنال
عنوان ژورنال: SIAM/ASA Journal on Uncertainty Quantification
سال: 2017
ISSN: 2166-2525
DOI: 10.1137/16m1094117