Multiscale integration schemes for jump-diffusion systems

Dror Givon, Ioannis G. Kevrekidis

Research output: Contribution to journalArticle

5 Scopus citations

Abstract

We study a two-time-scale system of jump-diffusion stochastic differential equations.We analyze a class of multiscale integration methods for these systems, which, in the spirit of [E. Vanden-Eijnden, Commun. Math. Sci., 1 (2003), pp. 385-391], consist of a hybridization between a standard solver for the slow components and short runs for the fast dynamics, which are used to estimate the effect that the fast components have on the slow ones. We obtain explicit bounds for the discrepancy between the results of the multiscale integration method and the slow components of the original system.

Original languageEnglish (US)
Pages (from-to)495-516
Number of pages22
JournalMultiscale Modeling and Simulation
Volume7
Issue number2
DOIs
StatePublished - 2008

All Science Journal Classification (ASJC) codes

  • Chemistry(all)
  • Modeling and Simulation
  • Ecological Modeling
  • Physics and Astronomy(all)
  • Computer Science Applications

Keywords

  • Averaging
  • Diffusion processes
  • Jump
  • Multiscale integration schemes

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