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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.

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