On Asymptotic Preserving Schemes for a Class of Stochastic Differential Equations in Averaging and Diffusion Approximation Regimes

DOI10.1137/20M1379836zbMath1481.65019arXiv2011.02341OpenAlexW3094831883WikidataQ115246872 ScholiaQ115246872MaRDI QIDQ5064412

Charles-Edouard Bréhier, Shmuel Rakotonirina-Ricquebourg

Publication date: 15 March 2022

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

Full work available at URL: https://arxiv.org/abs/2011.02341

zbMATH Keywords

diffusion approximationweak approximationaveraging principlemultiscale methodsasymptotic preserving schemesslow-fast stochastic differential equations

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

The averaging principle for stochastic differential equations driven by a Wiener process revisited, A Uniformly Accurate Scheme for the Numerical Integration of Penalized Langevin Dynamics, Strong Rates of Convergence of a Splitting Scheme for Schrödinger Equations with Nonlocal Interaction Cubic Nonlinearity and White Noise Dispersion, Splitting integrators for stochastic Lie–Poisson systems, Uniform strong and weak error estimates for numerical schemes applied to multiscale SDEs in a Smoluchowski-Kramers diffusion approximation regime, Asymptotic behavior of a class of multiple time scales stochastic kinetic equations, Uniform error bounds for numerical schemes applied to multiscale SDEs in a Wong-Zakai diffusion approximation regime

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