Accelerated convergence to equilibrium and reduced asymptotic variance for Langevin dynamics using Stratonovich perturbations

DOI10.1016/j.crma.2019.04.008arXiv1903.03024WikidataQ128024008 ScholiaQ128024008MaRDI QIDQ6315227

Gilles Vilmart, Grigorios A. Pavliotis, Assyr Abdulle

Publication date: 7 March 2019

Mathematics Subject Classification ID

Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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