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.
All Science Journal Classification (ASJC) codes
- Modeling and Simulation
- Ecological Modeling
- Physics and Astronomy(all)
- Computer Science Applications
- Diffusion processes
- Multiscale integration schemes