Weak second order multirevolution composition methods for highly oscillatory stochastic differential equations with additive or multiplicative noise

DOI10.1137/130935331zbMATH Open1320.65019OpenAlexW2152547657MaRDI QIDQ2930009FDOQ2930009

Authors: Gilles Vilmart 

Publication date: 17 November 2014

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://archive-ouverte.unige.ch/unige:41846

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zbMATH Keywords

convergencenumerical resultmultiplicative noisecomposition methodhighly oscillatory stochastic differential equationquadratic first integral conservationtime-dependent stochastic Schrödinger equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) NLS equations (nonlinear Schrödinger equations) (35Q55) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (12)

• Multirevolution integrators for differential equations with fast stochastic oscillations
• Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants
• Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations
• Filon quadrature for stochastic oscillators driven by time-varying forces
• Exponential discrete gradient schemes for a class of stochastic differential equations
• Stability issues for selected stochastic evolutionary problems: a review
• A uniformly accurate scheme for the numerical integration of penalized Langevin dynamics
• Numerical preservation of long-term dynamics by stochastic two-step methods
• Drift-preserving numerical integrators for stochastic Poisson systems
• On the numerical structure preservation of nonlinear damped stochastic oscillators
• Long-term analysis of stochastic \(\theta\)-methods for damped stochastic oscillators
• Uniformly accurate schemes for drift-oscillatory stochastic differential equations

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