Efficiency of a Micro-Macro Acceleration Method for Scale-Separated Stochastic Differential Equations
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Publication:5150067
DOI10.1137/19M1246158zbMath1459.65015arXiv1902.08045MaRDI QIDQ5150067
Giovanni Samaey, Przemysław Zieliński, Hannes Vandecasteele
Publication date: 9 February 2021
Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.08045
stochastic differential equationsMonte Carlo methodsstiff differential equationsmicro-macro acceleration
Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04)
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