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

DOI10.1090/mcom/3752zbMath1502.60091arXiv1906.03439OpenAlexW4224139703MaRDI QIDQ5097376

Derui Sheng, Jianbo Cui, Jialin Hong

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

strong convergenceMalliavin calculusdensity functionstochastic Langevin equationnon-globally monotone coefficientsplitting AVF scheme

Mathematics Subject Classification ID

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

Related Items (2)

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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