Long-Run Accuracy of Variational Integrators in the Stochastic Context

DOI10.1137/090758842zbMath1215.65012arXiv0712.4123OpenAlexW3106408394MaRDI QIDQ3078557

Nawaf Bou-Rabee, Houman Owhadi

Publication date: 28 February 2011

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.4123

zbMATH Keywords

Langevin equationsvariational integratorsOrnstein-Uhlenbeck equationsLie-Trotter splittingdiscrete stochastic systemBoltzmann-Gibbs measuregeometric ergodicty

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for Hamiltonian systems including symplectic integrators (65P10) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25)

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