On the long-time integration of stochastic gradient systems
(2014)
Journal Article
Leimkuhler, B., Matthews, C., & Tretyakov, M. (2014). On the long-time integration of stochastic gradient systems. Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences, 470(2170), Article 20140120. https://doi.org/10.1098/rspa.2014.0120
This article addresses the weak convergence of numerical methods for Brownian dynamics. Typical analyses of numerical methods for stochastic differential equations focus on properties such as the weak order which estimates the asymptotic (stepsize... Read More about On the long-time integration of stochastic gradient systems.