Weak backward error analysis for Langevin process (Q906954)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6537631
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Weak backward error analysis for Langevin process |
scientific article; zbMATH DE number 6537631 |
Statements
Weak backward error analysis for Langevin process (English)
0 references
1 February 2016
0 references
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.
0 references
backward error analysis
0 references
Langevin equation
0 references
exponential mixing
0 references
numerical scheme
0 references
weak error
0 references
Kolmogorov equation
0 references
0 references
0 references
0 references
0 references
0 references
0.9481334090232848
0 references
0.8936281204223633
0 references
0.8269798755645752
0 references
0.7997584939002991
0 references
0.7833638787269592
0 references
