Ergodic SDEs on submanifolds and related numerical sampling schemes

  title={Ergodic SDEs on submanifolds and related numerical sampling schemes},
  author={Wei Zhang},
  journal={ESAIM: Mathematical Modelling and Numerical Analysis},
  • Wei Zhang
  • Published 26 February 2017
  • Mathematics
  • ESAIM: Mathematical Modelling and Numerical Analysis
In many applications, it is often necessary to sample the mean value of certain quantity with respect to a probability measure μ on the level set of a smooth function ξ : ℝd → ℝk, 1 ≤ k < d. A specially interesting case is the so-called conditional probability measure, which is useful in the study of free energy calculation and model reduction of diffusion processes. By Birkhoff’s ergodic theorem, one approach to estimate the mean value is to compute the time average along an infinitely long… 

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