Browsing by Author "Crosskey, Miles Martin"
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Atlas Simulation: A Numerical Scheme for Approximating Multiscale Diffusions Embedded in High Dimensions
Crosskey, Miles Martin (2014)When simulating multiscale stochastic differential equations (SDEs) in high-dimensions, separation of timescales and high-dimensionality can make simulations expensive. The computational cost is dictated by microscale properties ...