Multirevolution integrators for differential equations with fast stochastic oscillations

DOI10.1137/19M1243075zbMATH Open1428.60097arXiv1902.01716OpenAlexW3100232559WikidataQ126386068 ScholiaQ126386068MaRDI QIDQ5208737FDOQ5208737

Authors: Adrien Laurent, Gilles Vilmart 

Publication date: 10 January 2020

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

Abstract: We introduce a new methodology based on the multirevolution idea for constructing integrators for stochastic differential equations in the situation where the fast oscillations themselves are driven by a Stratonovich noise. Applications include in particular highly-oscillatory Kubo oscillators and spatial discretizations of the nonlinear Schr"odinger equation with fast white noise dispersion. We construct a method of weak order two with computational cost and accuracy both independent of the stiffness of the oscillations. A geometric modification that conserves exactly quadratic invariants is also presented.

Full work available at URL: https://arxiv.org/abs/1902.01716

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zbMATH Keywords

geometric integrationquadratic first integralwhite noise dispersionnonlinear Schrödinger equationhighly oscillatory stochastic differential equations

Mathematics Subject Classification ID

NLS equations (nonlinear Schrödinger equations) (35Q55) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (6)

• Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants
• A uniformly accurate scheme for the numerical integration of penalized Langevin dynamics
• On the wellposedness of periodic nonlinear Schrödinger equations with white noise dispersion
• Weak second order multirevolution composition methods for highly oscillatory stochastic differential equations with additive or multiplicative noise
• Uniformly accurate schemes for drift-oscillatory stochastic differential equations
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