A decreasing step method for strongly oscillating stochastic models

We propose an algorithm for approximating the solution of a strongly oscillating SDE, that is, a system in which some ergodic state variables evolve quickly with respect to the other variables. The algorithm profits from homogenization results and consists of an Euler scheme for the slow scale varia...

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Veröffentlicht in:	arXiv.org 2015-03
1. Verfasser:	Trillos, Camilo Andrés García
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Ergodic processes Mathematics - Probability State variable
Online-Zugang:	Volltext
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