Multirevolution integrators for differential equations with fast stochastic oscillations
| Autor: | Laurent, Adrien, Vilmart, Gilles |
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| Rok vydání: | 2019 |
| Předmět: | |
| Zdroj: | SIAM J. Sci. Comput. 42 (2020), no. 1, A115-A139 |
| Druh dokumentu: | Working Paper |
| DOI: | 10.1137/19M1243075 |
| Popis: | 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. Comment: 27 pages |
| Databáze: | arXiv |
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