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math.NA2025
Numerical integrators for confined Langevin dynamics
B. Leimkuhler, A. Sharma, M. V. Tretyakov
We derive and analyze numerical methods for underdamped (kinetic) Langevin dynamics in a domain with elastic reflection at the boundary. First-order approximations are based on an…
math.NA2025
Sampling from mixture distributions based on regime-switching diffusions
M. V. Tretyakov
It is proposed to use stochastic differential equations with state-dependent switching rates (SDEwS) for sampling from finite mixture distributions. An Euler scheme with constant t…