Conservative stochastic differential equations: Mathematical and numerical analysis

DOI10.1090/S0025-5718-09-02220-0zbMath1203.60069MaRDI QIDQ3055188

Erwan Faou, Tony Lelièvre

Publication date: 7 November 2010

Published in: Mathematics of Computation (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsinvariant preservationmicrocanonical samplingnumerical approximation of invariant measure

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes and stochastic analysis on manifolds (58J65)

Related Items (8)

Numerical methods preserving multiple Hamiltonians for stochastic Poisson systems ⋮ Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds ⋮ An energy-conserving method for stochastic Maxwell equations with multiplicative noise ⋮ Drift-preserving numerical integrators for stochastic Hamiltonian systems ⋮ Long-term analysis of stochastic \(\theta\)-methods for damped stochastic oscillators ⋮ Hybrid Monte Carlo methods for sampling probability measures on submanifolds ⋮ NonReversible Sampling Schemes on Submanifolds ⋮ Data-driven approximation of the Koopman generator: model reduction, system identification, and control

Cites Work

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