Weak backward error analysis for Langevin process
| LEADER | caa a22 4500 | ||
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| 001 | 605497087 | ||
| 003 | CHVBK | ||
| 005 | 20210128105157.0 | ||
| 007 | cr unu---uuuuu | ||
| 008 | 210128e20151201xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1007/s10543-015-0546-0 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10543-015-0546-0 | ||
| 100 | 1 | |a Kopec |D Marie |u ENS RENNES/INRIA RENNES, Campus de Ker Lann, Avenue Robert Schumann, 35170, Bruz, France |4 aut | |
| 245 | 1 | 0 | |a Weak backward error analysis for Langevin process |h [Elektronische Daten] |c [Marie Kopec] |
| 520 | 3 | |a We consider numerical approximations of stochastic Langevin equations by implicit methods. 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 that every measure of the numerical scheme is close to a modified invariant measure obtained by asymptotic expansion. Moreover, we prove that, up to negligible terms, the dynamics associated with the considered implicit scheme is exponentially mixing: The law of the scheme converges exponentially fast to a constant up to an error that we can optimize. | |
| 540 | |a Springer Science+Business Media Dordrecht, 2015 | ||
| 690 | 7 | |a Backward error analysis |2 nationallicence | |
| 690 | 7 | |a Langevin equation |2 nationallicence | |
| 690 | 7 | |a Exponential mixing |2 nationallicence | |
| 690 | 7 | |a Numerical scheme |2 nationallicence | |
| 690 | 7 | |a Weak error |2 nationallicence | |
| 690 | 7 | |a Kolmogorov equation |2 nationallicence | |
| 773 | 0 | |t BIT Numerical Mathematics |d Springer Netherlands |g 55/4(2015-12-01), 1057-1103 |x 0006-3835 |q 55:4<1057 |1 2015 |2 55 |o 10543 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10543-015-0546-0 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10543-015-0546-0 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 100 |E 1- |a Kopec |D Marie |u ENS RENNES/INRIA RENNES, Campus de Ker Lann, Avenue Robert Schumann, 35170, Bruz, France |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t BIT Numerical Mathematics |d Springer Netherlands |g 55/4(2015-12-01), 1057-1103 |x 0006-3835 |q 55:4<1057 |1 2015 |2 55 |o 10543 | ||
| 986 | |a SWISSBIB |b 394790812 | ||