A Uniformly Accurate Scheme for the Numerical Integration of Penalized Langevin Dynamics
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Publication:5043369
DOI10.1137/21M1455188MaRDI QIDQ5043369
Publication date: 21 October 2022
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2110.03222
manifoldsinvariant measureuniform accuracyconstrained stochastic differential equationspenalized Langevin dynamics
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Constrained dynamics, Dirac's theory of constraints (70H45) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25)
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