Uniform strong and weak error estimates for numerical schemes applied to multiscale SDEs in a Smoluchowski-Kramers diffusion approximation regime

DOI10.3934/jcd.2023005arXiv2208.00447OpenAlexW4297239868MaRDI QIDQ6075446

Charles-Edouard Bréhier

Publication date: 20 September 2023

Published in: Journal of Computational Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2208.00447

zbMATH Keywords

numerical schemesSmoluchowski-Kramers approximationasymptotic preserving methodsmultiscale stochastic differential equationsuniformly accurate methods

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Differential geometry of symmetric spaces (53C35)

Related Items (1)

Uniform error bounds for numerical schemes applied to multiscale SDEs in a Wong-Zakai diffusion approximation regime

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