Analysis of multiscale methods for stochastic dynamical systems driven by ?-stable processes

In this paper, we firstly analyze the strong convergence of projective integration method for multiscale stochastic dynamical systems driven by alpha-stable processes, which is used to estimate the effect that the fast components have on slow ones. Then we obtain the pth moment error bounds between the solution of slow component produced by projective integration method and the solution of effective system with p is an element of (1, alpha). Finally, we corroborate our analytical results through a specific numerical example.(c) 2022 Elsevier Ltd. All rights reserved.

Automated summary

This paper firstly analyzes the strong convergence of the projective integration method for multiscale stochastic dynamical systems. Then, the pth moment error bounds between the solution of the slow component and the solution of the effective system are obtained. Finally, the analytical results are verified through a specific numerical example.