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Long time accuracy of Lie-Trotter splitting methods for Langevin dynamics

Publié dansSIAM journal on mathematical analysis, vol. 53, no. 1, p. 1-16
Date de publication2015
Résumé

A new characterization of sufficient conditions for the Lie-Trotter splitting to capture the numerical invariant measure of nonlinear ergodic Langevin dynamics up to an arbitrary order is discussed. Our characterization relies on backward error analysis and needs weaker assumptions than assumed so far in the literature. In particular, neither high weak order of the splitting scheme nor symplecticity are necessary to achieve high order approximation of the invariant measure of the Langevin dynamics. Numerical experiments confirm our theoretical findings.

Mots-clés
  • Stochastic differential equations
  • Splitting method
  • Langevin dynamics
  • Weak convergence
  • Modified differential equations
  • Backward error analysis
  • Invariant measure
  • Ergodicity
Groupe de recherche
Financement
  • Swiss National Science Foundation - 200020 144313/1
Citation (format ISO)
ABDULLE, Assyr, VILMART, Gilles, ZYGALAKIS, Konstantinos C. Long time accuracy of Lie-Trotter splitting methods for Langevin dynamics. In: SIAM journal on mathematical analysis, 2015, vol. 53, n° 1, p. 1–16. doi: 10.1137/140962644
Fichiers principaux (1)
Article (Submitted version)
accessLevelRestricted
Identifiants
ISSN du journal0036-1410
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Informations techniques

Création12.11.2014 15:50:00
Première validation12.11.2014 15:50:00
Heure de mise à jour14.03.2023 22:15:21
Changement de statut14.03.2023 22:15:21
Dernière indexation16.01.2024 14:25:34
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