Measuring the Irreversibility of Numerical Schemes for Reversible Stochastic Differential Equations

DOI10.1051/m2an/2013142zbMath1306.65007arXiv1207.5665OpenAlexW3099747197WikidataQ57453408 ScholiaQ57453408MaRDI QIDQ2925703

Markos A. Katsoulakis, Yannis Pantazis, Luc Rey-Bellet

Publication date: 17 October 2014

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.5665

zbMATH Keywords

numerical integrationrelative entropystochastic differential equationsentropy productionreversibilitydetailed balanceEuler-Maruyama methodMilstein method(overdamped) Langevin process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Information Metrics For Long-Time Errors in Splitting Schemes For Stochastic Dynamics and Parallel Kinetic Monte Carlo ⋮ The entropy production of stationary diffusions ⋮ Coarse Graining of Nonreversible Stochastic Differential Equations: Quantitative Results and Connections to Averaging ⋮ Information criteria for quantifying loss of reversibility in parallelized KMC

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