Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme (Q6197999): Difference between revisions

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scientific article; zbMATH DE number 7806688

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English	Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme	scientific article; zbMATH DE number 7806688

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instance of

scholarly article

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title

Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme (English)

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author

Charles-Edouard Bréhier

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published in

ESAIM: Probability and Statistics

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publication date

20 February 2024

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full work available at URL

https://arxiv.org/abs/2010.00512

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zbMATH Keywords

stochastic differential equations

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tamed Euler scheme

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invariant distribution

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MaRDI profile type

MaRDI publication profile

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cites work

Optimal Explicit Stabilized Integrator of Weak Order 1 for Stiff and Ergodic Stochastic Differential Equations

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High Order Numerical Approximation of the Invariant Measure of Ergodic SDEs

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Pathwise accuracy and ergodicity of metropolized integrators for SDEs

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Approximation of the invariant distribution for a class of ergodic SPDEs using an explicit tamed exponential Euler scheme

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Second order PDE's in finite and infinite dimension

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Uniform in time estimates for the weak error of the Euler method for SDEs and a pathwise approach to derivative estimates for diffusion semigroups

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Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients

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Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

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Adaptive time-stepping strategies for nonlinear stochastic systems

0 references

Weak backward error analysis for overdamped Langevin processes

0 references

Recursive computation of the invariant distribution of a diffusion

0 references

Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs

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The computation of averages from equilibrium and nonequilibrium Langevin molecular dynamics

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Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.

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Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations

0 references

Computing ergodic limits for Langevin equations

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Recursive computation of invariant distributions of Feller processes

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A note on tamed Euler approximations

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Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution

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Q3773006

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Second-order discretization schemes of stochastic differential systems for the computation of the invariant law

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Q4786851

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Expansion of the global error for numerical schemes solving stochastic differential equations

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Postprocessed Integrators for the High Order Integration of Ergodic SDEs

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Identifiers

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6197999

@@ Property / OpenAlex ID @@
+W3090028287
@@ Property / OpenAlex ID: W3090028287 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Explicit Stabilized Integrator of Weak Order 1 for Stiff and Ergodic Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+High Order Numerical Approximation of the Invariant Measure of Ergodic SDEs
+Normal rank
@@ Property / cites work @@
+Pathwise accuracy and ergodicity of metropolized integrators for SDEs
+Normal rank
@@ Property / cites work @@
+Approximation of the invariant distribution for a class of ergodic SPDEs using an explicit tamed exponential Euler scheme
+Normal rank
@@ Property / cites work @@
+Second order PDE's in finite and infinite dimension
+Normal rank
@@ Property / cites work @@
+Uniform in time estimates for the weak error of the Euler method for SDEs and a pathwise approach to derivative estimates for diffusion semigroups
+Normal rank
@@ Property / cites work @@
+Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Adaptive time-stepping strategies for nonlinear stochastic systems
+Normal rank
@@ Property / cites work @@
+Weak backward error analysis for overdamped Langevin processes
+Normal rank
@@ Property / cites work @@
+Recursive computation of the invariant distribution of a diffusion
+Normal rank
@@ Property / cites work @@
+Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs
+Normal rank
@@ Property / cites work @@
+The computation of averages from equilibrium and nonequilibrium Langevin molecular dynamics
+Normal rank
@@ Property / cites work @@
+Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
+Normal rank
@@ Property / cites work @@
+Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations
+Normal rank
@@ Property / cites work @@
+Computing ergodic limits for Langevin equations
@@ Property / cites work: Computing ergodic limits for Langevin equations / rank @@
+Normal rank
@@ Property / cites work @@
+Recursive computation of invariant distributions of Feller processes
+Normal rank
@@ Property / cites work @@
+A note on tamed Euler approximations
@@ Property / cites work: A note on tamed Euler approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
+Normal rank
@@ Property / cites work @@
+Q3773006
@@ Property / cites work: Q3773006 / rank @@
+Normal rank
@@ Property / cites work @@
+Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
+Normal rank
@@ Property / cites work @@
+Q4786851
@@ Property / cites work: Q4786851 / rank @@
+Normal rank
@@ Property / cites work @@
+Expansion of the global error for numerical schemes solving stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Postprocessed Integrators for the High Order Integration of Ergodic SDEs
+Normal rank