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

numerical examplesGibbs distributionMonte Carlo techniqueVan der Pol's equationergodic limitsgradient systems with noisenonglobally Lipschitz conditionsquasi-symplectic numerical methods

Mathematics Subject Classification ID

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

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Cited in

(19)

• The computation of averages from equilibrium and nonequilibrium Langevin molecular dynamics
• Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs
• Numerical methods for stochastic simulation: when stochastic integration meets geometric numerical integration
• scientific article; zbMATH DE number 7626757 (Why is no real title available?)
• Numerical analysis on ergodic limit of approximations for stochastic NLS equation via multi-symplectic scheme
• Contact-PIC numerical methods for simulating Vlasov-Poisson-Fokker-Planck problem
• High order conformal symplectic and ergodic schemes for the stochastic Langevin equation via generating functions
• Using coupling methods to estimate sample quality of stochastic differential equations
• Multilevel Monte Carlo method for ergodic SDEs without contractivity
• Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme
• Approximation of the invariant distribution for a class of ergodic SPDEs using an explicit tamed exponential Euler scheme
• Adaptive stepsize algorithms for Langevin dynamics
• Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
• Numerical Stochastic Integration for Quasi-Symplectic Flows
• The forward-backward envelope for sampling with the overdamped Langevin algorithm
• High order integrator for sampling the invariant distribution of a class of parabolic stochastic PDEs with additive space-time noise
• Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
• A full-discrete exponential Euler approximation of the invariant measure for parabolic stochastic partial differential equations
• A splitting method for SDEs with locally Lipschitz drift: illustration on the FitzHugh-Nagumo model

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