Scientific article
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Multirevolution Integrators for Differential Equations with Fast Stochastic Oscillations

Published inSIAM Journal on Scientific Computing, vol. 42, no. 1, p. A115-A139
Publication date2020
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 Schrödinger 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.

Keywords
  • Highly-oscillatory stochastic differential equations
  • Nonlinear Schrödinger equation
  • White noise dispersion
  • Geometric integration
  • Quadratic first integral
Research groups
Citation (ISO format)
LAURENT, Adrien, VILMART, Gilles. Multirevolution Integrators for Differential Equations with Fast Stochastic Oscillations. In: SIAM Journal on Scientific Computing, 2020, vol. 42, n° 1, p. A115–A139. doi: 10.1137/19M1243075
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Article (Accepted version)
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Identifiers
Additional URL for this publicationhttps://epubs.siam.org/doi/10.1137/19M1243075
Journal ISSN1064-8275
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Technical informations

Creation27/03/2020 16:59:00
First validation27/03/2020 16:59:00
Update15/03/2023 21:22:02
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