Analysis of multiscale methods for stochastic differential equations
E Weinan, Di Liu, Eric Vanden‐Eijnden · Communications on Pure and Applied Mathematics · 2005
Abstract We analyze a class of numerical schemes proposed [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. © 2005 Wiley Periodicals, Inc.