High Order Integrator for Sampling the Invariant Distribution of a Class of Parabolic Stochastic PDEs with Additive Space-Time Noise
DOI10.1137/15M1021088zbMath1346.60105arXiv1505.05061OpenAlexW3106482916MaRDI QIDQ3186110
Gilles Vilmart, Charles-Edouard Bréhier
Publication date: 8 August 2016
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.05061
stochastic partial differential equationsergodicityinvariant measurespace-time white noisepostprocessor
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) 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)
Related Items (11)
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