An adaptive scheme for the approximation of dissipative systems (Q2381971)

A new scheme is proposed for the long time approximation of a diffusion when the drift vector field is not globally Lipschitz. The scheme is explicit and based on a stochastic step sequence. When the scheme starts to explode, the discretization is getting finer and a stability condition prevents the explosion. Under some set of assumptions, weighted empirical measures of the scheme a.s. converge to the invariant measure of the diffusion. Monotone systems and stochastic Hamiltonian dissipative systems are successively investigated. Numerical experiments are displayed for the Lorenz equations and for a perturbed Hamiltonian system.