High Order Conformal Symplectic and Ergodic Schemes for the Stochastic Langevin Equation via Generating Functions

DOI10.1137/17M111691XzbMath1386.60241arXiv1702.07061MaRDI QIDQ4596727

Jialin Hong, Liying Sun, Xu Wang

Publication date: 8 December 2017

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

Full work available at URL: https://arxiv.org/abs/1702.07061

zbMATH Keywords

weak convergenceergodicitygenerating functionstochastic Langevin equationconformal symplectic scheme

Mathematics Subject Classification ID

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)

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Cites Work

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• Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations
• Numerical integrators based on modified differential equations
• Quasi-symplectic methods for Langevin-type equations
• Symplectic Integration of Hamiltonian Systems with Additive Noise
• Numerical Methods for Stochastic Systems Preserving Symplectic Structure
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