Long-time behavior of exact and numerical solutions of stochastic evolution equations on the sphere
This work addresses numerical stability issues for stochastic PDEs in mathematical physics, with incremental improvements for domain-specific applications.
The paper analyzed the long-time behavior of exact solutions and numerical approximations for three stochastic evolution equations on the sphere, showing that forward/backward Euler-Maruyama schemes fail to reproduce correct behavior while a stochastic exponential integrator preserves it.
We investigate the long-time behavior of exact solutions and numerical approximations of linear stochastic evolution equations defined on the sphere. We focus on three classical models arising in mathematical physics: the stochastic wave equation, the stochastic Schrödinger equation, and the stochastic Maxwell's equations. For these SPDEs, we analyze several widely used time integrators with respect to trace formulas describing the evolution of physically relevant quantities such as energy, mass, and momentum dependent on the forcing term. In particular, we prove that the forward and backward Euler-Maruyama schemes fail to reproduce the correct long-time behavior of the exact solutions. In addition, we prove that the stochastic exponential integrator preserves the correct long-time behavior of the physical quantities of interest. Finally, several numerical experiments are provided to illustrate our theoretical findings.