期刊
COMMUNICATIONS ON PURE AND APPLIED MATHEMATICS
卷 58, 期 11, 页码 1544-1585出版社
WILEY
DOI: 10.1002/cpa.20088
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We analyze a class of numerical schemes proposed in [26] for stochastic differential equations with multiple time scales. Both advective and diffusive time scales are considered. Weak as well as strong convergence theorems are proven. Most of our results are optimal. They in turn allow us to provide a thorough discussion on the efficiency as well as optimal strategy for the method. (c) 2005 Wiley Periodicals, Inc.
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