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math.NA2019★ 7 cited
Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants
Kristian Debrabant, Anne Kværnø, Nicky Cordua Mattsson
In this paper, we consider a class of stochastic midpoint and trapezoidal Lawson schemes for the numerical discretization of highly oscillatory stochastic differential equations. T…
math.NA2019★ 18 cited
Runge-Kutta Lawson schemes for stochastic differential equations
Kristian Debrabant, Anne Kværnø, Nicky Cordua Mattsson
In this paper, we present a framework to construct general stochastic Runge-Kutta Lawson schemes. We prove that the schemes inherit the consistency and convergence properties of th…