Computing ergodic limits for Langevin equations

DOI10.1016/J.PHYSD.2007.03.011MaRDI QIDQ885910zbMATH OpenOpenAlexFDO

Authors Grigori N. Milstein, M. V. Tretyakov

Publication date 14 June 2007

Published in Physica D (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physd.2007.03.011

zbMATH Keywords

ergodic limitsGibbs distributiongradient systems with noiseMonte Carlo techniquenonglobally Lipschitz conditionsnumerical examplesquasi-symplectic numerical methodsVan der Pol's equation

Mathematics Subject Classification ID

Generation, random and stochastic difference and differential equations (37H10) Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

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Cited in

(25)

• Contact-PIC numerical methods for simulating Vlasov-Poisson-Fokker-Planck problem
• A splitting method for SDEs with locally Lipschitz drift: illustration on the FitzHugh-Nagumo model
• 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
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• The computation of averages from equilibrium and nonequilibrium Langevin molecular dynamics
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