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Weak Second Order Multirevolution Composition Methods for Highly Oscillatory Stochastic Differential Equations with Additive or Multiplicative Noise

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Published in SIAM Journal on Scientific Computing. 2014, vol. 36, no. 4, p. A1770-A1796
Abstract We introduce a class of numerical methods for highly oscillatory systems of stochastic differential equations with general noncommutative noise. We prove global weak error bounds of order two uniformly with respect to the stiffness of the oscillations, which permits to use large time steps. The approach is based on the micro-macro framework of multi-revolution composition methods recently introduced for deterministic problems and inherits its geometric features, in particular to design integrators preserving exactly quadratic first integral. Numerical experiments, including the stochastic nonlinear Schrödinger equation with space-time multiplicative noise, illustrate the performance and versatility of the approach.
Keywords Highly-oscillatory stochastic differential equationComposition methodQuadratic first integral conservationMultiplicative noiseTime-dependent stochasticSchrödinger equation
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Research group Analyse numérique
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VILMART, Gilles. Weak Second Order Multirevolution Composition Methods for Highly Oscillatory Stochastic Differential Equations with Additive or Multiplicative Noise. In: SIAM Journal on Scientific Computing, 2014, vol. 36, n° 4, p. A1770-A1796. https://archive-ouverte.unige.ch/unige:41846

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Deposited on : 2014-11-14

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