Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants

DOI10.1007/S10543-021-00906-8MaRDI QIDQ2100531zbMATH OpenOpenAlexWikidataFDO

Authors Kristian Debrabant, Anne Kværnø, Nicky Cordua Mattsson

Publication date 22 November 2022

Published in BIT (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1909.12287

zbMATH Keywords

highly oscillatory problemsnumerical schemesquadratic invariantsstochastic Lawsonstochastic oscillators

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

Abstract: In this paper, we consider a class of stochastic midpoint and trapezoidal Lawson schemes for the numerical discretization of highly oscillatory stochastic differential equations. These Lawson schemes incorporate both the linear drift and diffusion terms in the exponential operator. We prove that the midpoint Lawson schemes preserve quadratic invariants and discuss this property as well for the trapezoidal Lawson scheme. Numerical experiments demonstrate that the integration error for highly oscillatory problems is smaller than that of some standard methods.

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Cited in

(7)

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