High Order Integrator for Sampling the Invariant Distribution of a Class of Parabolic Stochastic PDEs with Additive Space-Time Noise-Reference-Cited by-同舟云学术

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High Order Integrator for Sampling the Invariant Distribution of a Class of Parabolic Stochastic PDEs with Additive Space-Time Noise

Published:2016-01 Issue:4 Volume:38 Page:A2283-A2306
ISSN:1064-8275
Container-title:SIAM Journal on Scientific Computing
language:en
Short-container-title:SIAM J. Sci. Comput.

Author:

Bréhier Charles-Edouard,Vilmart Gilles

Funder

Schweizerischer Nationalfonds zur F\"{o}rderung der Wissenschaftlichen Forschung

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Computational Mathematics

Link

http://epubs.siam.org/doi/pdf/10.1137/15M1021088

Reference33 articles.

1. High Order Numerical Approximation of the Invariant Measure of Ergodic SDEs

2. Long Time Accuracy of Lie--Trotter Splitting Methods for Langevin Dynamics

3. Long-Run Accuracy of Variational Integrators in the Stochastic Context

4. Approximation of the Invariant Measure with an Euler Scheme for Stochastic PDEs Driven by Space-Time White Noise

5. Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations

Cited by 20 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Total Variation Error Bounds for the Approximation of the Invariant Distribution of Parabolic Semilinear SPDEs Using the Standard Euler Scheme;Potential Analysis;2024-03-19

2. Analysis of a Modified Regularity-Preserving Euler Scheme for Parabolic Semilinear SPDEs: Total Variation Error Bounds for the Numerical Approximation of the Invariant Distribution;Foundations of Computational Mathematics;2024-02-08

3. An Accelerated Convergence Scheme for Solving Stochastic Fractional Diffusion Equation;Communications on Applied Mathematics and Computation;2024-01-16

4. Long-Time Dynamics of Stochastic Wave Equation with Dissipative Damping and its Full Discretization: Exponential Ergodicity and Strong Law of Large Numbers;2024

5. Optimal Weak Order and Approximation of the Invariant Measure with a Fully-Discrete Euler Scheme for Semilinear Stochastic Parabolic Equations with Additive Noise;Mathematics;2023-12-28

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