Analysis of multiscale methods for stochastic dynamical systems driven by $\alpha$-stable processes
Probability
2020-06-02 v2 Dynamical Systems
Abstract
In this paper, we first analyze the strong and weak convergence of projective integration methods for multiscale stochastic dynamical systems driven by -stable processes, which are used to estimate the effect that the fast components have on slow ones. Then we obtain the th moment error bounds between the solution of slow component produced by projective integration method and the solution of effective system with . Finally, we corroborate our analytical results through a specific numerical example.
Cite
@article{arxiv.2004.10580,
title = {Analysis of multiscale methods for stochastic dynamical systems driven by $\alpha$-stable processes},
author = {Yanjie Zhang and Xiao Wang and Zibo Wang and Jinqiao Duan},
journal= {arXiv preprint arXiv:2004.10580},
year = {2020}
}