Parametrization of stochastic multiscale triads

Abstract

We discuss applications of a recently developed method for model reduction based on linear response theory of weakly coupled dynamical systems. We apply the weak coupling method to simple stochastic differential equations with slow and fast degrees of freedom. The weak coupling model reduction method results in general in a non-Markovian system, we therefore discuss the Markovianization of the system to allow for straightforward numerical integration. We compare the applied method to the equations obtained through homogenization in the limit of large time scale separation between slow and fast degrees of freedom. We look at ensemble spread from a fixed initial condition, correlation functions and exit times from domain. The weak coupling method gives better results in all test cases, albeit with a higher numerical cost.

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