Metropolis Integration Schemes for Self-Adjoint Diffusions
DOI10.1137/130937470zbMath1315.65006arXiv1309.5037OpenAlexW2032116918MaRDI QIDQ5250352
Eric Vanden-Eijnden, Nawaf Bou-Rabee, Aleksandar Donev
Publication date: 19 May 2015
Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.5037
diffusionergodicitysmall noise limitfluctuation-dissipation theoremMetropolis-Hastings algorithmMonte Carlo schemeRunge-Kutta algorithmpredictor-corrector schemesBrownian dynamics with hydrodynamic interactionsDNA simulationsexplicit integrators
Monte Carlo methods (65C05) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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