Effectiveness of implicit methods for stiff stochastic differential equations
作者： Tiejun Li , Assyr Abdulle , Weinan E.
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摘要: In this paper we study the behavior of a family implicit numerical methods applied to stochastic differential equations with multiple time scales. We show by combination analytical arguments and examples that in general fail capture effective dynamics at slow scale. This is due fact such cannot correctly non-Dirac invariant distributions when step size much larger than relaxation system. AMS subject classifications: 65L20, 65C30, 37M25
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