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Analysis of multiscale methods for stochastic differential equations (2005)
by
Weinan E
,
Di Liu
,
Eric Vanden-Eijnden
| Citations: | 38 - 7 self |
BibTeX
@MISC{E05analysisof,
author = {Weinan E and Di Liu and Eric Vanden-Eijnden},
title = {Analysis of multiscale methods for stochastic differential equations},
year = {2005}
}
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Abstract
We analyze a class of numerical schemes proposed in [26] for stochastic dif-ferential 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.
