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Analysis of Multiscale Methods for Stochastic Di erential ...
web.math.princeton.eduAnalysis of Multiscale Methods for Stochastic Di erential Equations WEINAN E ... ERIC VANDEN-EIJNDEN Courant Institute Abstract We analyze a class of numerical schemes proposed in [25] for stochastic di erential equations with multiple time-scales. Both advective and di usive time-scales are con- ... in the limit of " ! 0 is a stochastic di ...