Session I.7 - Stochastic Computation
Wednesday, June 14, 17:00 ~ 17:30
Asymptotic preserving schemes for some multiscale stochastic systems
Charles-Edouard Bréhier
Université de Pau et des Pays de l'Adour, France - This email address is being protected from spambots. You need JavaScript enabled to view it.
I will discuss how to construct temporal discretization schemes for some classes of multiscale stochastic ordinary and partial differential equations. While well-known averaging or diffusion approximation principles are obtained for the considered systems, it is challenging to obtain numerical schemes which are efficient with time-step size independent of the scale separation parameter, and can capture the limiting evolution. I will present examples of such asymptotic preserving schemes and of associated uniform accuracy results.