Year: 2008
Communications in Computational Physics, Vol. 3 (2008), Iss. 2 : pp. 295–307
Abstract
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.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2008-CiCP-7854
Communications in Computational Physics, Vol. 3 (2008), Iss. 2 : pp. 295–307
Published online: 2008-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 13