Parareal Algorithms Applied to Stochastic Differential Equations with Conserved Quantities

Abstract

In this paper, we couple the parareal algorithm with projection methods of the trajectory on a specific manifold, defined by the preservation of some conserved quantities of stochastic differential equations. First, projection methods are introduced as the coarse and fine propagators. Second, we apply the projection methods for systems with conserved quantities in the correction step of original parareal algorithm. Finally, three numerical experiments are performed by different kinds of algorithms to show the property of convergence in iteration, and preservation in conserved quantities of model systems.