Weak backward error analysis for Langevin process (Q906954)
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| Language | Label | Description | Also known as |
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| English | Weak backward error analysis for Langevin process |
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Weak backward error analysis for Langevin process (English)
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1 February 2016
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The weak error analysis of 0\textit{A. Debussche} and \textit{E. Faou} [SIAM J. Numer. Anal. 50, No. 3, 1735--1752 (2012; Zbl 1256.65002)] is extended to the Langevin process described by a stochastic Hamiltonian equation. Since the ordinary Euler scheme may be unstable, in this paper two implicit schemes are suggested. For a small time step a modified vector field, the long time behavior of the modified flow, exponential mixing and the expansion of the invariant measure are analyzed.
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backward error analysis
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Langevin equation
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exponential mixing
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numerical scheme
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weak error
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Kolmogorov equation
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