Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations

Abstract

We consider the numerical solution, by finite differences, of second-order-in-time stochastic partial differential equations (SPDEs) in one space dimension. New timestepping methods are introduced by generalising recently-introduced methods for second-order-in-time stochastic differential equations to multidimensional systems. These stochastic methods, based on leapfrog and Runge–Kutta methods, are designed to give good approximations to the stationary variances and the correlations in the position and velocity variables. In particular, we introduce the reverse leapfrog method and stochastic Runge–Kutta Leapfrog methods, analyse their performance applied to linear SPDEs and perform numerical experiments to examine their accuracy applied to a type of nonlinear SPDE.