Multirevolution integrators for differential equations with fast stochastic oscillations

par M. Adrien Laurent (Université de Genève)

mardi 7 mai 2019, 14:00 → 15:00 Europe/Paris

Salle 435 (UMPA/ENS de Lyon)

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.

This is a joint work with Gilles Vilmart. The preprint is available at http://www.unige.ch/~alaurent