3 papers
math.NA2025
Monte-Carlo/Moments micro-macro Parareal method for unimodal and bimodal scalar McKean-Vlasov SDEs
Ignace Bossuyt, Stefan Vandewalle, Giovanni Samaey
We propose a micro-macro parallel-in-time Parareal method for scalar McKean-Vlasov stochastic differential equations (SDEs). In the algorithm, the fine Parareal propagator is a Mon…
math.NA2025
Convergence of the micro-macro Parareal Method for a Linear Scale-Separated Ornstein-Uhlenbeck SDE: extended version
Ignace Bossuyt, Giovanni Samaey, Stefan Vandewalle
Time-parallel methods can reduce the wall clock time required for the accurate numerical solution of differential equations by parallelizing across the time-dimension. In this pape…
math.NA2024
Micro-macro Parareal, from ODEs to SDEs and back again
Ignace Bossuyt, Stefan Vandewalle, Giovanni Samaey
In this paper, we are concerned with the micro-macro Parareal algorithm for the simulation of initial-value problems. In this algorithm, a coarse (fast) solver is applied sequentia…