Conservative stochastic differential equations: Mathematical and numerical analysis

Faou, Erwan; Lelièvre, Tony

doi:10.1090/S0025-5718-09-02220-0

Conservative stochastic differential equations: Mathematical and numerical analysis
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by Erwan Faou and Tony Lelièvre PDF

Math. Comp. 78 (2009), 2047-2074 Request permission

Abstract:

We consider stochastic differential equations on the whole Euclidean space possessing a scalar invariant along their solutions. The stochastic dynamics therefore evolves on a hypersurface of the ambient space. Using orthogonal coordinate systems, we show the existence and uniqueness of smooth solutions of the Kolmogorov equation under some ellipticity conditions over the invariant hypersurfaces. If we assume, moreover, the existence of an invariant measure, we show the exponential convergence of the solution towards its average. In the second part, we consider numerical approximation of the stochastic differential equation, and show the convergence and numerical ergodicity of a class of projected schemes. In the context of molecular dynamics, this yields numerical schemes that are ergodic with respect to the microcanonical measure over isoenergy surfaces.

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