Abstract
We analyze a class of numerical schemes proposed in [26] for stochastic differential equations with multiple time scales. Both advective and diffusive time scales are considered. Weak as well as strong convergence theorems are proven. Most of our results are optimal. They in turn allow us to provide a thorough discussion on the efficiency as well as optimal strategy for the method.
Original language | English (US) |
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Pages (from-to) | 1544-1585 |
Number of pages | 42 |
Journal | Communications on Pure and Applied Mathematics |
Volume | 58 |
Issue number | 11 |
DOIs | |
State | Published - Nov 2005 |
All Science Journal Classification (ASJC) codes
- General Mathematics
- Applied Mathematics