Multiscale Integration Schemes for Jump-Diffusion Systems
Dror Givon, Ioannis G. Kevrekidis · Multiscale Modeling and Simulation · 2008
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.