Numerical simulation code for PhD thesis "Micro-macro Parareal methods for multiscale ordinary and stochastic differential equations"

This datafolder contains the software that was used to generate the numerical simulations in the PhD thesis "Micro-macro Parareal methods for multiscale ordinary and stochastic differential equations. In this thesis we analyse, through convergence theory and numerical simulations, the use of micro-macro Parareal for the simulation of (i) multiscale ordinary differential equations and (ii) (McKean-Vlasov) stochastic differential equations. Our main contribution is the Monte Carlo-moments (MC-moments) Parareal algorithm. It combines a very cheap coarse solver that approximates the statistical moments of an SDE, with a time-parallel application of an expensive Monte Carlo method for the underlying SDE. The dataset contains source code and scripts in the Julia programming language, as well as some bash scripts to automate figure generation. The main goal of this dataset is to ensure reproducibility of the numerical results reported in the said dissertation.