Communications in Mathematical Sciences

Volume 1 (2003)

Number 2

Numerical Techniques for Multi-Scale Dynamical Systems with Stochastic Effects

Pages: 385 – 391

(Fast Communication)

DOI: http://dx.doi.org/10.4310/CMS.2003.v1.n2.a11

Author

Eric Vanden-Eijnden

Abstract

Numerical schemes are presented for dynamical systems with multiple time-scales. Two classes of mehtods are discussed, depending on the time interval which the evolution of the slow variables in the system is sought. On rather short time intervals, the slow variables satisfy ordinary differential equations. On longer time intervals, however, fluctuations become important, and stochastic differential equations are obtained. In both cases, the numerical methods compute the evolution of the slow variables without having to derive explicitly the effective equations beforehand; rather, the coefficients entering these equations are obtained on the fly using simulations of appropriate auxiliary systems.

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