Convergence and stability of a micro–macro acceleration method: Linear slow–fast stochastic differential equations with additive noise

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2019.112490 ◽

2019 ◽

pp. 112490

Author(s):

Przemysław Zieliński ◽

Hannes Vandecasteele ◽

Giovanni Samaey

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Additive Noise ◽

Convergence And Stability ◽

Acceleration Method

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Convergence and stability of the balanced methods for stochastic differential equations with jumps

International Journal of Computer Mathematics ◽

10.1080/00207160.2010.521548 ◽

2011 ◽

Vol 88 (10) ◽

pp. 2089-2108 ◽

Cited By ~ 16

Author(s):

Lin Hu ◽

Siqing Gan

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Convergence And Stability

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Convergence and Stability of Split-Step Milstein Schemes for Stochastic Differential Equations

Asian Research Journal of Mathematics ◽

10.9734/arjom/2017/30465 ◽

2017 ◽

Vol 2 (3) ◽

pp. 1-11

Author(s):

Lingzhi Teng ◽

Haomin Zhang ◽

Xiaoting Tao

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Convergence And Stability

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Convergence rate of weak Local Linearization schemes for stochastic differential equations with additive noise

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2014.10.021 ◽

2015 ◽

Vol 279 ◽

pp. 106-122 ◽

Cited By ~ 7

Author(s):

J.C. Jimenez ◽

F. Carbonell

Keyword(s):

Differential Equations ◽

Convergence Rate ◽

Stochastic Differential Equations ◽

Additive Noise ◽

Local Linearization

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A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations

SIAM Journal on Numerical Analysis ◽

10.1137/16m1066658 ◽

2017 ◽

Vol 55 (6) ◽

pp. 2745-2786 ◽

Cited By ~ 5

Author(s):

Kristian Debrabant ◽

Giovanni Samaey ◽

Przemysław Zieliński

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Acceleration Method

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Convergence and stability properties Euler method for solving fuzzy Stochastic differential equations

Journal of Fuzzy Set Valued Analysis ◽

10.5899/2015/jfsva-00230 ◽

2015 ◽

Vol 2015 (3) ◽

pp. 194-207 ◽

Cited By ~ 1

Author(s):

A. Seyed Alavi Nobar

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Euler Method ◽

Stability Properties ◽

Convergence And Stability

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Step size control for the uniform approximation of systems of stochastic differential equations with additive noise

10.1214/aoap/1019487358 ◽

2000 ◽

Vol 10 (2) ◽

pp. 616-633 ◽

Cited By ~ 9

Author(s):

Norbert Hofmann ◽

Thomas Müller-Gronbach ◽

Klaus Ritter

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Uniform Approximation ◽

Additive Noise ◽

Size Control ◽

Step Size ◽

Step Size Control

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Convergence rate of strong Local Linearization schemes for stochastic differential equations with additive noise

BIT Numerical Mathematics ◽

10.1007/s10543-011-0360-2 ◽

2011 ◽

Vol 52 (2) ◽

pp. 357-382 ◽

Cited By ~ 9

Author(s):

J. C. Jimenez ◽

H. de la Cruz Cancino

Keyword(s):

Differential Equations ◽

Convergence Rate ◽

Stochastic Differential Equations ◽

Additive Noise ◽

Local Linearization

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Study of micro–macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise

BIT Numerical Mathematics ◽

10.1007/s10543-020-00804-5 ◽

2020 ◽

Vol 60 (4) ◽

pp. 959-998

Author(s):

Kristian Debrabant ◽

Giovanni Samaey ◽

Przemysław Zieliński

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Additive Noise

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The optimal free knot spline approximation of stochastic differential equations with additive noise

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2013.09.034 ◽

2014 ◽

Vol 261 ◽

pp. 62-71

Author(s):

Mehdi Slassi

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Additive Noise ◽

Spline Approximation

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Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2018.02.039 ◽

2018 ◽

Vol 340 ◽

pp. 296-317 ◽

Cited By ~ 2

Author(s):

Yulan Lu ◽

Minghui Song ◽

Mingzhu Liu

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Random Measure ◽

Poisson Random Measure ◽

Convergence And Stability ◽

Piecewise Continuous ◽

Piecewise Continuous Arguments ◽

Theta Method

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