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

DOI10.3934/jcd.2024009arXiv2208.00448MaRDI QIDQ6192520

Charles-Edouard Bréhier

Publication date: 11 March 2024

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

Full work available at URL: https://arxiv.org/abs/2208.00448

zbMATH Keywords

numerical schemesWong-Zakai 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)

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