Multirevolution Integrators for Differential Equations with Fast Stochastic Oscillations
Résumé
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.
Origine : Fichiers produits par l'(les) auteur(s)
Licence : CC BY - Paternité
Licence : CC BY - Paternité