Weak backward error analysis for Langevin process
نویسندگان
چکیده
منابع مشابه
Weak Backward Error Analysis for SDEs
We consider numerical approximations of stochastic differential equations by the Euler method. In the case where the SDE is elliptic or hypoelliptic, we show a weak backward error analysis result in the sense that the generator associated with the numerical solution coincides with the solution of a modified Kolmogorov equation up to high order terms with respect to the stepsize. This implies th...
متن کاملBackward Error Analysis for Numerical Integrators Backward Error Analysis for Numerical Integrators
We consider backward error analysis of numerical approximations to ordinary diie-rential equations, i.e., the numerical solution is formally interpreted as the exact solution of a modiied diierential equation. A simple recursive deenition of the modiied equation is stated. This recursion is used to give a new proof of the exponentially closeness of the numerical solutions and the solutions to a...
متن کاملBackward Error Analysis for Numerical Integrators
Backward error analysis has become an important tool for understanding the long time behavior of numerical integration methods. This is true in particular for the integration of Hamiltonian systems where backward error analysis can be used to show that a symplectic method will conserve energy over exponentially long periods of time. Such results are typically based on two aspects of backward er...
متن کاملError Analysis of Modified Langevin Dynamics
We consider Langevin dynamics associated with a modified kinetic energy vanishing for small momenta. This allows us to freeze slow particles, and hence avoid the re-computation of inter-particle forces, which leads to computational gains. On the other hand, the statistical error may increase since there are a priori more correlations in time. The aim of this work is first to prove the ergodicit...
متن کاملBackward Error Analysis in Computational Geometry
A recent paper, published in Algorithms—ESA2004, presented examples designed to illustrate that using floating-point arithmetic in algorithms for computational geometry may cause implementations to fail. The stated purpose was to demonstrate, to students and implementors, the inadequacy of floating-point arithmetic for geometric computations. The examples presented were both useful and insightf...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: BIT Numerical Mathematics
سال: 2015
ISSN: 0006-3835,1572-9125
DOI: 10.1007/s10543-015-0546-0