Density function of numerical solution of splitting AVF scheme for stochastic Langevin equation

DOI10.1090/MCOM/3752MaRDI QIDQ5097376zbMATH OpenOpenAlexFDO

Authors Jianbo Cui, Jialin Hong, Derui Sheng

Publication date 23 August 2022

Published in Mathematics of Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.03439

zbMATH Keywords

Malliavin calculusstrong convergencedensity functionstochastic Langevin equationnon-globally monotone coefficientsplitting AVF scheme

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: In this article, we study the density function of the numerical solution of the splitting averaged vector field (AVF) scheme for the stochastic Langevin equation. To deal with the non-globally monotone coefficient in the considered equation, we first present the exponential integrability properties of the exact and numerical solutions. Then we show the existence and smoothness of the density function of the numerical solution by proving its uniform non-degeneracy in Malliavin sense. In order to analyze the approximate error between the density function of the exact solution and that of the numerical solution, we derive the optimal strong convergence rate in every Malliavin--Sobolev norm of the numerical scheme via Malliavin calculus. Combining the approximation result of Donsker's delta function and the smoothness of the density functions, we prove that the convergence rate in density coincides with the optimal strong convergence rate of the numerical scheme.

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Cited in

(4)

• Density convergence of a fully discrete finite difference method for stochastic Cahn-Hilliard equation
• A brief review on stability investigations of numerical methods for systems of stochastic differential equations
• Wasserstein Hamiltonian Flow with Common Noise on Graph
• On the convergence rate of the splitting-up scheme for rough partial differential equations

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