Adaptive stepsize algorithms for Langevin dynamics

MaRDI QIDQ6526578arXivFDO

Authors Alix Leroy, Benedict Leimkuhler, Jonas Latz, Desmond J. Higham

Published in arXiv

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

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