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

26 Sep 2019 Debrabant Kristian Kværnø Anne Mattsson Nicky Cordua

In 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... (read more)

PDF Abstract
No code implementations yet. Submit your code now

Categories


  • NUMERICAL ANALYSIS
  • NUMERICAL ANALYSIS