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

DOI10.1016/S0304-4149(02)00150-3zbMath1075.60072OpenAlexW2104049095MaRDI QIDQ2574509

Andrew M. Stuart, Desmond J. Higham, Jonathan C. Mattingly

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(02)00150-3

zbMATH Keywords

stochastic differential equationsinvariant measuregeometric ergodicitytime discretization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Transition functions, generators and resolvents (60J35)

Related Items (only showing first 100 items - show all)

Weak stochastic Runge-Kutta Munthe-Kaas methods for finite spin ensembles ⋮ Stochastic Schrödinger-Lohe model ⋮ Hypoelliptic stochastic Fitzhugh-Nagumo neuronal model: mixing, up-crossing and estimation of the spike rate ⋮ Linear response based parameter estimation in the presence of model error ⋮ ISALT: inference-based schemes adaptive to large time-stepping for locally Lipschitz ergodic systems ⋮ Hypocoercivity with Schur complements ⋮ Improved bounds for discretization of Langevin diffusions: near-optimal rates without convexity ⋮ Variance reduction using nonreversible Langevin samplers ⋮ The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate ⋮ A splitting method for SDEs with locally Lipschitz drift: illustration on the FitzHugh-Nagumo model ⋮ The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching ⋮ The Smoluchowski-Kramers limits of stochastic differential equations with irregular coefficients ⋮ Error analysis of modified Langevin dynamics ⋮ Semi-implicit split-step numerical methods for a class of nonlinear stochastic differential equations with non-Lipschitz drift terms ⋮ Lower estimates of transition densities and bounds on exponential ergodicity for stochastic PDEs ⋮ A sparse Markov chain approximation of LQ-type stochastic control problems. ⋮ Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients ⋮ Couplings for Andersen dynamics ⋮ Solving eigenvalue PDEs of metastable diffusion processes using artificial neural networks ⋮ An adaptively weighted stochastic gradient MCMC algorithm for Monte Carlo simulation and global optimization ⋮ Ergodicity of truncated stochastic Navier Stokes with deterministic forcing and dispersion ⋮ An ensemble Kalman filter for statistical estimation of physics constrained nonlinear regression models ⋮ Non-equilibrium steady states for networks of oscillators ⋮ Hypocoercivity of linear kinetic equations via Harris's theorem ⋮ Computing ergodic limits for Langevin equations ⋮ Estimating the speed-up of adaptively restrained Langevin dynamics ⋮ Continuous limits of classical repeated interaction systems ⋮ Numerical approximation of random periodic solutions of stochastic differential equations ⋮ A full-discrete exponential Euler approximation of the invariant measure for parabolic stochastic partial differential equations ⋮ Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift ⋮ The numerical approximation of stochastic partial differential equations ⋮ Itô-SDE MCMC method for Bayesian characterization of errors associated with data limitations in stochastic expansion methods for uncertainty quantification ⋮ Bridging the gap between constant step size stochastic gradient descent and Markov chains ⋮ A patch that imparts unconditional stability to explicit integrators for Langevin-like equations ⋮ Stochastic heavy ball ⋮ The transition from ergodic to explosive behavior in a family of stochastic differential equations ⋮ Stability of partially implicit Langevin schemes and their MCMC variants ⋮ Comparing the efficiencies of stochastic isothermal molecular dynamics methods ⋮ Weak backward error analysis for Langevin process ⋮ A contrast estimator for completely or partially observed hypoelliptic diffusion ⋮ Classical Langevin dynamics derived from quantum mechanics ⋮ Ergodicity and spike rate for stochastic FitzHugh-Nagumo neural model with periodic forcing ⋮ Ergodic properties of a model for turbulent dispersion of inertial particles ⋮ On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case ⋮ High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise ⋮ Controlled sequential Monte Carlo ⋮ Convergence of the stochastic Euler scheme for locally Lipschitz coefficients ⋮ Phase transitions and metastability in Markovian and molecular systems ⋮ Simulating Coulomb and log-gases with hybrid Monte Carlo algorithms ⋮ Positive Harris recurrence for degenerate diffusions with internal variables and randomly perturbed time-periodic input ⋮ A stochastic SIRS epidemic model with nonlinear incidence rate ⋮ On one-dimensional Riccati diffusions ⋮ Modularity of directed networks: cycle decomposition approach ⋮ Convergence rate of Euler-Maruyama scheme for SDEs with Hölder-Dini continuous drifts ⋮ Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations ⋮ Transition manifolds of complex metastable systems. Theory and data-driven computation of effective dynamics ⋮ Well-posedness and long time behavior of singular Langevin stochastic differential equations ⋮ Approximation of invariant measure for damped stochastic nonlinear Schrödinger equation via an ergodic numerical scheme ⋮ Exponential ergodicity for SDEs under the total variation ⋮ Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics ⋮ Nonequilibrium statistical mechanics of a solid immersed in a continuum ⋮ Exponential ergodicity for stochastic Langevin equation with partial dissipative drift ⋮ Ergodicity \& dynamical aspects of a stochastic childhood disease model ⋮ Improving dynamical properties of metropolized discretizations of overdamped Langevin dynamics ⋮ Divergence of the backward Euler method for ordinary stochastic differential equations ⋮ The Langevin limit of the Nosé-Hoover-Langevin thermostat ⋮ Asymptotic log-Harnack inequality and applications for stochastic systems of infinite memory ⋮ Geometric ergodicity of a bead-spring pair with stochastic Stokes forcing ⋮ Weak backward error analysis for stochastic Hamiltonian systems ⋮ A rapid numerical algorithm to compute matrix inversion ⋮ The tamed unadjusted Langevin algorithm ⋮ Scaling limits for the generalized Langevin equation ⋮ Parametric inference for hypoelliptic ergodic diffusions with full observations ⋮ Large deviations of empirical measures of diffusions in weighted topologies ⋮ Diffusion maps tailored to arbitrary non-degenerate Itô processes ⋮ Fluctuations in the heterogeneous multiscale methods for fast-slow systems ⋮ A stochastic version of the jansen and rit neural mass model: analysis and numerics ⋮ Gamma calculus beyond Villani and explicit convergence estimates for Langevin dynamics with singular potentials ⋮ Erratum to ``A comparison of generalized hybrid Monte Carlo methods with and without momentum flip ⋮ Time-periodic measures, random periodic orbits, and the linear response for dissipative non-autonomous stochastic differential equations ⋮ Ergodic numerical approximation to periodic measures of stochastic differential equations ⋮ The kinetic Fokker-Planck equation with general force ⋮ Two-scale coupling for preconditioned Hamiltonian Monte Carlo in infinite dimensions ⋮ Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients ⋮ Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations ⋮ Spectral density-based and measure-preserving ABC for partially observed diffusion processes. An illustration on Hamiltonian SDEs ⋮ Heat conduction and entropy production in anharmonic crystals with self-consistent stochastic reservoirs ⋮ On the mean field limit of the random batch method for interacting particle systems ⋮ Error bounds of the invariant statistics in machine learning of ergodic Itô diffusions ⋮ High-dimensional Bayesian inference via the unadjusted Langevin algorithm ⋮ On the geometric ergodicity of Hamiltonian Monte Carlo ⋮ Higher order Langevin Monte Carlo algorithm ⋮ Couplings and quantitative contraction rates for Langevin dynamics ⋮ Trajectory fitting estimation for a class of SDEs with small Lévy noises ⋮ Ensemble Kalman inversion for sparse learning of dynamical systems from time-averaged data ⋮ A multiscale analysis of diffusions on rapidly varying surfaces ⋮ The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients ⋮ Learning stochastic dynamics with statistics-informed neural network ⋮ Variance reduction for additive functionals of Markov chains via martingale representations ⋮ Langevin dynamics with space-time periodic nonequilibrium forcing

Uses Software

• Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Recurrence and invariant measures for degenerate diffusions
• Markov chains and stochastic stability
• Lectures on topics in stochastic differential equations
• On polynomial mixing bounds for stochastic differential equations
• Ergodicity of dissipative differential equations subject to random impulses
• Exponential convergence of Langevin distributions and their discrete approximations
• Bounds on regeneration times and convergence rates for Markov chains
• On the quantum Langevin equation
• The Lorenz equations: bifurcations, chaos, and strange attractors
• Exponential and uniform ergodicity of Markov processes
• Ergodic and quasideterministic properties of finite-dimensional stochastic systems
• Langevin-type models. I: Diffusions with given stationary distributions and their discretizations
• Langevin-type models II: Self-targeting candidates for MCMC algorithms
• Stratonovich and Ito Stochastic Taylor Expansions
• Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
• Approximation of Upper Lyapunov Exponents of Bilinear Stochastic Differential Systems
• Stability of Markovian processes I: criteria for discrete-time Chains
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• A Perturbation Theory for Ergodic Markov Chains and Application to Numerical Approximations
• Sur quelques algorithmes récursifs pour les probabilités numériques
• On unique ergodicity for degenerate diffusions
• Ergodicity for the Navier‐Stokes equation with degenerate random forcing: Finite‐dimensional approximation
• Topics in the Constructive Theory of Countable Markov Chains
• Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo
• Approximation of Lyapunov Exponents of Nonlinear Stochastic Differential Equations
• Stochastic Calculus

This page was built for publication: Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.