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Mathematics  2013 

Weak backward error analysis for overdamped Langevin processes

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Abstract:

We consider numerical approximations of overdamped Langevin stochastic differential 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 dynamic associated with the implicit scheme considered is exponentially mixing.

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