In this work we consider the surface quasi-geostrophic (SQG) system under location uncertainty (LU) and propose a Milstein-type scheme for these equations, which is then used in a multi-step method. The LU framework, is based on the decomposition of the Lagrangian velocity into two components: a large-scale smooth component and a small-scale stochastic one. This decomposition leads to a stochastic transport operator, and one can, in turn, derive the stochastic LU version of every classical fluid-dynamics system.
SQG in particular consists of one partial differential equation, which models the stochastic transport of the buoyancy, and an operator which relies the velocity and the buoyancy.
For this kinds of equations, the Euler-Maruyama scheme converges with weak order 1 and strong order 0.5. Our aim is to develop higher order schemes in time: the first step is to consider Milstein scheme, which improves the strong convergence to the order 1.