Browsing NTNU Open by Author "Mattson, Nicky Cordua"

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Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants

Debrabant, Kristian; Kværnø, Anne; Mattson, Nicky Cordua (Peer reviewed; Journal article, 2022)

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 ...