A uniformly accurate scheme for the numerical integration of penalized Langevin dynamics
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Publication:5043369
DOI10.1137/21M1455188MaRDI QIDQ5043369FDOQ5043369
Authors: Adrien Laurent 
Publication date: 21 October 2022
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2110.03222
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invariant measuremanifoldsuniform accuracyconstrained stochastic differential equationspenalized Langevin dynamics
Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Constrained dynamics, Dirac's theory of constraints (70H45)
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Cited In (4)
- Uniform error bounds for numerical schemes applied to multiscale SDEs in a Wong-Zakai diffusion approximation regime
- Uniform strong and weak error estimates for numerical schemes applied to multiscale SDEs in a Smoluchowski-Kramers diffusion approximation regime
- A patch that imparts unconditional stability to explicit integrators for Langevin-like equations
- Constrained dynamics, stochastic numerical methods and the modeling of complex systems. Abstracts from the workshop held May 26--31, 2024
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