Weak Second Order Multirevolution Composition Methods for Highly Oscillatory Stochastic Differential Equations with Additive or Multiplicative Noise
Gilles Vilmart · SIAM Journal on Scientific Computing · 2014
We introduce a class of numerical methods for highly oscillatory systems of stochastic differential equations with general noncommutative noise. We prove global weak error bounds of order two uniformly with respect to the stiffness of the oscillations, which permits us to use large time steps. The approach is based on the micro-macro framework of multirevolution composition methods recently introduced for deterministic problems and inherits its geometric features, in particular for designing integrators preserving exactly quadratic first integral. Numerical experiments, including the stochastic nonlinear Schrödinger equation with space-time multiplicative noise, illustrate the performance and versatility of the approach.