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arXiv · 2402.18982

Splitting integrators for linear Vlasov equations with stochastic perturbations

Charles-Edouard Bréhier·David Cohen
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Abstract

We consider a class of linear Vlasov partial differential equations driven by Wiener noise. Different types of stochastic perturbations are treated: additive noise, multiplicative It\^o and Stratonovich noise, and transport noise. We propose to employ splitting integrators for the temporal discretization of these stochastic partial differential equations. These integrators are designed in order to preserve qualitative properties of the exact solutions depending on the stochastic perturbation, such as preservation of norms or positivity of the solutions. We provide numerical experiments in order to illustrate the properties of the proposed integrators and investigate mean-square rates of convergence.

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Charles-Edouard Bréhier, David Cohen. 2024-02-29. Splitting integrators for linear Vlasov equations with stochastic perturbations. https://arxiv.org/abs/2402.18982

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