Uniformly accurate schemes for oscillatory stochastic differential equations

08/16/2021
by   Ibrahim Almuslimani, et al.
0

In this work, we adapt the micro-macro methodology to stochastic differential equations for the purpose of numerically solving oscillatory evolution equations. The models we consider are addressed in a wide spectrum of regimes where oscillations may be slow or fast. We show that through an ad-hoc transformation (the micro-macro decomposition), it is possible to retain the usual orders of convergence of Euler-Maruyama method, that is to say, uniform weak order one and uniform strong order one half.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset