Multiscale integration schemes for jump-diffusion systems

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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 [1], 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.

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Givon, D. & Kevrekidis, I.G. December 9, 2008.

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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 [1], 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.

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  • Journal Name: SIAM: Multiscale modeling and simulation

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  • Report No.: LBNL-1332E
  • Grant Number: DE-AC02-05CH11231
  • DOI: 10.1137/070693473 | External Link
  • Office of Scientific & Technical Information Report Number: 945358
  • Archival Resource Key: ark:/67531/metadc893036

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  • December 9, 2008

Added to The UNT Digital Library

  • Sept. 27, 2016, 1:39 a.m.

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  • Nov. 8, 2016, 1:11 p.m.

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Givon, D. & Kevrekidis, I.G. Multiscale integration schemes for jump-diffusion systems, article, December 9, 2008; Berkeley, California. (digital.library.unt.edu/ark:/67531/metadc893036/: accessed September 23, 2017), University of North Texas Libraries, Digital Library, digital.library.unt.edu; crediting UNT Libraries Government Documents Department.