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	Effectiveness of implicit methods for stiff stochastic differential equations
	Li, Tiejun ; Abdulle, Assyr ; Weinan, E.
	2008
关键词	implicit methods stiff ODE stiff SDE invariant distribution multiscale HETEROGENEOUS MULTISCALE METHODS STABILITY
英文摘要	In this paper we study the behavior of a family of implicit numerical methods applied to stochastic differential equations with multiple time scales. We show by a combination of analytical arguments and numerical examples that implicit methods in general fail to capture the effective dynamics at the slow time scale. This is due to the fact that such implicit methods cannot correctly capture non-Dirac invariant distributions when the time step size is much larger than the relaxation time of the system.; http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000252780900002&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=8e1609b174ce4e31116a60747a720701 ; Physics, Mathematical; SCI(E); 26; ARTICLE; 2; 295-307; 3
语种	英语
出处	SCI
出版者	communications in computational physics
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/314907]
专题	数学科学学院
推荐引用方式 GB/T 7714	Li, Tiejun,Abdulle, Assyr,Weinan, E.. Effectiveness of implicit methods for stiff stochastic differential equations. 2008-01-01.

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