The file "Script_weak_convergence.jl", together with the functions file "Functions.jl", are used to compute weak approximation of the highly-oscillatory SDE for different functions F, and with the different multirevolution algorithms presented in the paper. We also add an order one variation of the Euler method that preserves quadratic invariants.

The matlab file "Plot_convergence_curves.m" plots the weak convergence curves of the paper.


