Computing ergodic limits for Langevin equations

DOI10.1016/j.physd.2007.03.011zbMath1117.65012OpenAlexW2041141176MaRDI QIDQ885910

M. V. Tretyakov, Grigori N. Milstein

Publication date: 14 June 2007

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physd.2007.03.011

zbMATH Keywords

numerical examplesGibbs distributionMonte Carlo techniqueVan der Pol's equationergodic limitsgradient systems with noisenonglobally Lipschitz conditionsquasi-symplectic numerical methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for Hamiltonian systems including symplectic integrators (65P10) Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15)

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