Related papers: Multirevolution integrators for differential equat…
We propose a third-order numerical integrator based on the Neumann series and the Filon quadrature, designed mainly for highly oscillatory partial differential equations. The method can be applied to equations that exhibit small or moderate…
First-order methods for stochastic optimization have undeniable relevance, in part due to their pivotal role in machine learning. Variance reduction for these algorithms has become an important research topic. In contrast to common…
We introduce a novel approach to numerical approximation of nonlinear Schr\"odinger equation with white noise dispersion in the regime of low-regularity solutions. Approximating such solutions in the stochastic setting is particularly…
This paper investigates the parareal algorithms for solving the stochastic Maxwell equations driven by multiplicative noise, focusing on their convergence, computational efficiency and numerical performance. The algorithms use the…
We study the stochastic nonlinear Schr\"odinger equations with additive stochastic forcing. By using the dispersive estimate, we present a simple argument, constructing a unique local-in-time solution with rougher stochastic forcing than…
This paper introduces weighted finite difference methods for numerically solving dispersive evolution equations with solutions that are highly oscillatory in both space and time. We consider a semiclassically scaled cubic nonlinear…
The solution of a (stochastic) differential equation can be locally approximated by a (stochastic) expansion. If the vector field of the differential equation is a polynomial, the corresponding expansion is a linear combination of iterated…
The Ito and Stratonovich approaches are carried over to quantum stochastic systems. Here the white noise representation is shown to be the most appropriate as here the two approaches appear as Wick and Weyl orderings, respectively. This…
We present a new class of numerical methods for solving stochastic differential equations with additive noise on general Riemannian manifolds with high weak order of accuracy. In opposition to the popular approach with projection methods,…
In this paper we present splitting methods which are based on iterative schemes and applied to stochastic nonlinear Schroedinger equation. We will design stochastic integrators which almost conserve the symplectic structure. The idea is…
This paper is concerned with the strong approximation of a semi-linear stochastic wave equation with strong damping, driven by additive noise. Based on a spatial discretization performed by a spectral Galerkin method, we introduce a kind of…
Efficient and accurate integration of stochastic (partial) differential equations with multiplicative noise can be obtained through a split-step scheme, which separates the integration of the deterministic part from that of the stochastic…
Explicit stabilized methods are highly efficient time integrators for large and stiff systems of ordinary differential equations especially when applied to semi-discrete parabolic problems. However, when local spatial mesh refinement is…
We consider a stochastic nonlinear defocusing Schr\"{o}dinger equation with zero-order linear damping, where the stochastic forcing term is given by a combination of a linear multiplicative noise in the Stratonovich form and a nonlinear…
In this work, we construct novel discretizations for the unsteady convection-diffusion equation. Our discretization relies on multiderivative time integrators together with a novel discretization that reduces the total number of unknowns…
Since the kinetic and the potential energy term of the real time nonlinear Schr\"odinger equation can each be solved exactly, the entire equation can be solved to any order via splitting algorithms. We verified the fourth-order convergence…
We present a novel numerical routine (oscode) with a C++ and Python interface for the efficient solution of one-dimensional, second-order, ordinary differential equations with rapidly oscillating solutions. The method is based on a…
In this paper, we derive a variational integrator for certain highly oscillatory problems in mechanics. To do this, we take a new approach to the splitting of fast and slow potential forces: rather than splitting these forces at the level…
We study an explicit exponential scheme for the time discretisation of stochastic Schr\"odinger equations driven by additive or multiplicative Ito noise. The numerical scheme is shown to converge with strong order $1$ if the noise is…
Two super-integrable and super-separable classical systems which can be considered as deformations of the harmonic oscillator and the Smorodinsky-Winternitz in two dimensions are studied and identified with motions in spaces of constant…