Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants
| Autor: | Kristian Debrabant, Anne Kværnø, Nicky Cordua Mattsson |
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| Jazyk: | angličtina |
| Rok vydání: | 2022 |
| Předmět: | |
| Zdroj: | BIT Numerical Mathematics |
| Popis: | In this paper, we consider a class of stochastic midpoint and trapezoidal Lawson schemes for the numerical discretization of highly oscillatory stochastic differen- tial equations. These Lawson schemes incorporate both the linear drift and diffusion terms in the exponential operator. We prove that the midpoint Lawson schemes pre- serve quadratic invariants and discuss this property as well for the trapezoidal Lawson scheme. Numerical experiments demonstrate that the integration error for highly oscil- latory problems is smaller than that of some standard methods. Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants |
| Databáze: | OpenAIRE |
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