Long Time Accuracy of Lie--Trotter Splitting Methods for Langevin Dynamics

DOI10.1137/140962644zbMath1327.65015OpenAlexW1973794074MaRDI QIDQ2946194

Gilles Vilmart, Assyr Abdulle, Konstantinos C. Zygalakis

Publication date: 16 September 2015

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/140962644

zbMATH Keywords

weak convergence stochastic differential equations ergodicity invariant measure Langevin dynamics splitting method backward error analysis modified differential equations

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25)

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