Article Dans Une Revue Multiscale Modeling and Simulation: A SIAM Interdisciplinary Journal Année : 2022

On asymptotic preserving schemes for a class of stochastic differential equations in averaging and diffusion approximation regimes

Résumé

We introduce and study a notion of Asymptotic Preserving schemes, related to convergence in distribution, for a class of slow-fast Stochastic Differential Equations. In some examples , crude schemes fail to capture the correct limiting equation resulting from averaging and diffusion approximation procedures. We propose examples of Asymptotic Preserving schemes: when the timescale separation vanishes, one obtains a limiting scheme, which is shown to be consistent in distribution with the limiting Stochastic Differential Equation. Numerical experiments illustrate the importance of the proposed Asymptotic Preserving schemes for several examples. In addition, in the averaging regime, error estimates are obtained and the proposed scheme is proved to be uniformly accurate.

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hal-02988284 , version 1 (04-11-2020)

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Charles-Edouard Bréhier, Shmuel Rakotonirina-Ricquebourg. On asymptotic preserving schemes for a class of stochastic differential equations in averaging and diffusion approximation regimes. Multiscale Modeling and Simulation: A SIAM Interdisciplinary Journal, 2022, 20 (1), ⟨10.1137/20M1379836⟩. ⟨hal-02988284⟩
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