Multiscale Integration Schemes for Jump-Diffusion Systems

DOI10.1137/070693473zbMath1175.60070OpenAlexW1982424837MaRDI QIDQ3183331

Ioannis G. Kevrekidis, Dror Givon

Publication date: 19 October 2009

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://digital.library.unt.edu/ark:/67531/metadc893036/

zbMATH Keywords

averagingjump-diffusion processesmultiscale integration schemes

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Multiple scale methods for ordinary differential equations (34E13)

Related Items (5)

Stochastic averaging principle for two-time-scale jump-diffusion SDEs under the non-Lipschitz coefficients ⋮ A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations ⋮ A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion ⋮ \(L^{p}\) (\(p>2\))-strong convergence of multiscale integration scheme for jump-diffusion systems ⋮ Strong averaging principle for two-time-scale stochastic McKean-Vlasov equations

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