Multirevolution integrators for differential equations with fast stochastic oscillations

DOI10.1137/19M1243075MaRDI QIDQ5208737zbMATH OpenOpenAlexWikidataFDO

Authors Adrien Laurent, Gilles Vilmart

Publication date 10 January 2020

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

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

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)

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.

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Cited in

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