Weak backward error analysis for overdamped Langevin processes

DOI10.1093/imanum/dru016zbMath1365.65016arXiv1310.2404OpenAlexW2964047059MaRDI QIDQ5249717

Marie Kopec

Publication date: 11 May 2015

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.2404

zbMATH Keywords

stochastic differential equationKolmogorov equationbackward error analysisweak errorexponential mixingoverdamped Langevin equationimplicit numerical scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

Related Items

Efficient Numerical Algorithms for the Generalized Langevin Equation ⋮ A Uniformly Accurate Scheme for the Numerical Integration of Penalized Langevin Dynamics ⋮ Numerical Methods for Stochastic Simulation: When Stochastic Integration Meets Geometric Numerical Integration ⋮ Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds ⋮ Extending the Regime of Linear Response with Synthetic Forcings ⋮ Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme ⋮ Weak backward error analysis for Langevin process ⋮ Langevin Dynamics With General Kinetic Energies ⋮ Partial differential equations and stochastic methods in molecular dynamics ⋮ Weak backward error analysis for stochastic Hamiltonian systems ⋮ The tamed unadjusted Langevin algorithm ⋮ A Perturbative Approach to Control Variates in Molecular Dynamics ⋮ More on the long time stability of Feynman-Kac semigroups ⋮ Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs ⋮ Error estimates on ergodic properties of discretized Feynman-Kac semigroups ⋮ Unnamed Item ⋮ Optimal convergence rate of modified milstein scheme for SDEs with rough fractional diffusions