Strong convergence of projective integration schemes for singularly perturbed stochastic differential systems

By Dror Givon, Ioannis G. Kevrekidis, Raz Kupferman. 2006

104 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/38312e571efa8266d7450194bbe3b07cf69ba7ae

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computational Theory and Mathematics

1. Wei Liu
2. Michael Röckner
3. Yingchao Xie
4. Jerrold E. Marsden
5. Wei Hong
6. Houman Owhadi
7. Shihu Li
8. Molei Tao

In Finance

1. Wei Liu
2. Michael Röckner
3. Wei Hong
4. Shihu Li
5. Tusheng Zhang
6. Yingchao Xie
7. Houman Owhadi
8. Hongbo Fu

In Mathematical Physics

1. Michael Röckner
2. Wei Liu
3. Jerrold E. Marsden
4. Houman Owhadi
5. Molei Tao
6. Hongbo Fu
7. Jicheng Liu
8. Tusheng Zhang

Citations in the corpus

• Nonintrusive and Structure Preserving Multiscale Integration of Stiff ODEs, SDEs, and Hamiltonian Systems with Hidden Slow Dynamics via Flow Averaging (2009, background): “2) with σ 6= 0 but independent of fast variables has been obtained in [50].”
• Strong convergence in stochastic averaging principle for two time-scales stochastic partial differential equations☆ (2011, methodology): “The mean-square type convergence was treated in Golec and Ladde [16] and Givon and co-workers [14].”
• Averaging principle for slow-fast stochastic differential equations with time dependent locally Lipschitz coefficients (2018, background): “[7, 8, 9, 12, 18] (and the references therein) for further generalizations.”
• Strong convergence rates in averaging principle for slow-fast McKean-Vlasov SPDEs (2021, background): “[20, 24, 34] for further generalizations on different types of SDEs.”