Uniformly accurate schemes for drift--oscillatory stochastic differential equations

Abstract

In this work, we adapt the {\em micro-macro} methodology to stochastic differential equations for the purpose of numerically solving oscillatory evolution equations. The models we consider are addressed in a wide spectrum of regimes where oscillations may be slow or fast. We show that through an ad-hoc transformation (the micro-macro decomposition), it is possible to retain the usual orders of convergence of Euler-Maruyama method, that is to say, uniform weak order one and uniform strong order one half. We also show that the same orders of uniform accuracy can be achieved by a simple integral scheme. The advantage of the micro-macro scheme is that, in contrast to the integral scheme, it can be generalized to higher order methods.