Improving dynamical properties of metropolized discretizations of overdamped Langevin dynamics

DOI10.1007/s00211-016-0849-3zbMath1458.65007arXiv1505.04905MaRDI QIDQ530090

Yong-Cai Geng, Sumit K. Garg

Publication date: 9 June 2017

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.04905

zbMATH Keywords

stochastic differential equation; Langevin dynamics; Euler-Maruyama discretization; strong error estimates

Mathematics Subject Classification ID

65C05: Monte Carlo methods

82C70: Transport processes in time-dependent statistical mechanics

65C30: Numerical solutions to stochastic differential and integral equations