Parareal computation of stochastic differential equations with time-scale separation: a numerical convergence study

DOI10.1007/s00791-020-00329-yarXiv1912.09240WikidataQ115385478 ScholiaQ115385478MaRDI QIDQ6163818

Frédéric Legoll, Keith W. Myerscough, Giovanni Samaey, Tony Lelièvre

Publication date: 30 June 2023

Published in: Computing and Visualization in Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.09240

zbMATH Keywords

stochastic differential equationstime-scale separationparallel method

Mathematics Subject Classification ID

Numerical methods for partial differential equations, boundary value problems (65Nxx)

Related Items (9)

On Asymptotic Preserving Schemes for a Class of Stochastic Differential Equations in Averaging and Diffusion Approximation Regimes ⋮ Stochastic Parareal: An Application of Probabilistic Methods to Time-Parallelization ⋮ Error Bound Analysis of the Stochastic Parareal Algorithm ⋮ Uniform strong and weak error estimates for numerical schemes applied to multiscale SDEs in a Smoluchowski-Kramers diffusion approximation regime ⋮ GParareal: a time-parallel ODE solver using Gaussian process emulation ⋮ Uniform error bounds for numerical schemes applied to multiscale SDEs in a Wong-Zakai diffusion approximation regime ⋮ A hybrid parareal Monte Carlo algorithm for parabolic problems ⋮ Stochastic Parareal: An Application of Probabilistic Methods to Time-Parallelization ⋮ An Adaptive Parareal Algorithm: Application to the Simulation of Molecular Dynamics Trajectories

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