Abstract
AbstractIn this paper, we consider a class of stochastic midpoint and trapezoidal Lawson schemes for the numerical discretization of highly oscillatory stochastic differential equations. These Lawson schemes incorporate both the linear drift and diffusion terms in the exponential operator. We prove that the midpoint Lawson schemes preserve quadratic invariants and discuss this property as well for the trapezoidal Lawson scheme. Numerical experiments demonstrate that the integration error for highly oscillatory problems is smaller than that of some standard methods.
Funder
NTNU Norwegian University of Science and Technology
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics,Computer Networks and Communications,Software
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