Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants
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Date
2022Metadata
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- Institutt for matematiske fag [2451]
- Publikasjoner fra CRIStin - NTNU [38070]
Original version
10.1007/s10543-021-00906-8Abstract
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