Weak second order multirevolution composition methods for highly oscillatory stochastic differential equations with additive or multiplicative noise

DOI10.1137/130935331zbMATH Open1320.65019MaRDI QIDQ6486755

Gilles Vilmart

Publication date: 17 November 2014

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

convergencemultiplicative noisenumerical resultcomposition methodhighly oscillatory stochastic differential equationquadratic first integral conservationtime-dependent stochastic Schrödinger equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) NLS equations (nonlinear Schrödinger equations) (35Q55) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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