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research article

Long time accuracy of Lie-Trotter splitting methods for Langevin dynamics

Abdulle, Assyr  
•
Vilmart, Gilles  
•
Zygalakis, Konstantinos C.  
2015
SIAM Journal on Numerical Analysis

A new characterization of sufficient conditions for the Lie-Trotter splitting to cap- ture the numerical invariant measure of nonlinear ergodic Langevin dynamics up to an arbitrary order is discussed. Our characterization relies on backward error analysis and needs weaker assumptions than assumed so far in the literature. In particular, neither high weak order of the splitting scheme nor symplecticity are necessary to achieve high order approximation of the invariant measure of the Langevin dynamics. Numerical experiments confirm our theoretical findings.

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