Multirevolution integrators for stochastic multiscale dynamics with fast stochastic oscillations

We introduce a new methodology based on the multirevolution idea for constructing integrators for stochastic differential equations in the situation where the fast oscillations themselves are driven by a Stratonovich noise. Applications include in particular highly-oscillatory Kubo oscillators and spatial discretizations of the nonlinear Schrödinger equation with fast white noise dispersion. We construct a method of weak order two with computational cost and accuracy both independent of the stiffness of the oscillations. A geometric modification that conserves exactly quadratic invariants is also presented. If time allows, we will discuss ongoing work on uniformly accurate methods for such systems. This is a joint work with Gilles Vilmart.