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math.NA2019
Efficiency of a micro-macro acceleration method for scale-separated stochastic differential equations
Hannes Vandecasteele, Przemysław Zieliński, Giovanni Samaey
We discuss through multiple numerical examples the accuracy and efficiency of a micro-macro acceleration method for stiff stochastic differential equations (SDEs) with a time-scale…
math.NA2019
Convergence and stability of a micro-macro acceleration method:linear slow-fast stochastic differential equations with additive noise
Przemysław Zieliński, Hannes Vandecasteele, Giovanni Samaey
We analyse the convergence and stability of a micro-macro acceleration algorithm for Monte Carlo simulations of stiff stochastic differential equations with a time-scale separation…