Weak backward error analysis for Langevin process

DOI10.1007/s10543-015-0546-0zbMath1346.65001arXiv1310.2599OpenAlexW2094034395MaRDI QIDQ906954

Marie Kopec

Publication date: 1 February 2016

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.2599

zbMATH Keywords

Langevin equationnumerical schemeKolmogorov equationbackward error analysisweak errorexponential mixing

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for Hamiltonian systems including symplectic integrators (65P10) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25)

Related Items

Efficient Numerical Algorithms for the Generalized Langevin Equation ⋮ A Uniformly Accurate Scheme for the Numerical Integration of Penalized Langevin Dynamics ⋮ Error analysis of modified Langevin dynamics ⋮ Numerical Methods for Stochastic Simulation: When Stochastic Integration Meets Geometric Numerical Integration ⋮ Spectral methods for Langevin dynamics and associated error estimates ⋮ Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds ⋮ Estimating the speed-up of adaptively restrained Langevin dynamics ⋮ Extending the Regime of Linear Response with Synthetic Forcings ⋮ Hypocoercivity Properties of Adaptive Langevin Dynamics ⋮ Mobility Estimation for Langevin Dynamics Using Control Variates ⋮ Langevin Dynamics With General Kinetic Energies ⋮ Partial differential equations and stochastic methods in molecular dynamics ⋮ Weak backward error analysis for stochastic Hamiltonian systems ⋮ Scaling limits for the generalized Langevin equation ⋮ Large deviations of empirical measures of diffusions in weighted topologies ⋮ A Perturbative Approach to Control Variates in Molecular Dynamics ⋮ Convergence of the likelihood ratio method for linear response of non-equilibrium stationary states ⋮ More on the long time stability of Feynman-Kac semigroups ⋮ Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs ⋮ Error estimates on ergodic properties of discretized Feynman-Kac semigroups ⋮ Optimal convergence rate of modified milstein scheme for SDEs with rough fractional diffusions ⋮ Langevin dynamics with space-time periodic nonequilibrium forcing

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Hamiltonian interpolation of splitting approximations for nonlinear PDEs
• Geometric numerical integration and Schrödinger equations
• The life-span of backward error analysis for numerical integrators
• Modified equations for stochastic differential equations
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• The computation of averages from equilibrium and nonequilibrium Langevin molecular dynamics
• Weak Backward Error Analysis for SDEs
• Yet Another Look at Harris’ Ergodic Theorem for Markov Chains
• High Weak Order Methods for Stochastic Differential Equations Based on Modified Equations
• Modified Energy for Split-Step Methods Applied to the Linear Schrödinger Equation
• Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations
• On the Existence and the Applications of Modified Equations for Stochastic Differential Equations
• Simulating Hamiltonian Dynamics
• Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
• Backward Error Analysis for Numerical Integrators
• Rational Construction of Stochastic Numerical Methods for Molecular Sampling
• Weak backward error analysis for overdamped Langevin processes
• Rigorous and formal stability of orbits about an oblate planet
• Theoretical and numerical comparison of some sampling methods for molecular dynamics
• Geometric Numerical Integration
• Expansion of the global error for numerical schemes solving stochastic differential equations