Convergence in Density of Splitting AVF Scheme for Stochastic Langevin Equation

Jianbo Cui; Jialin Hong; Derui Sheng

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arXiv · 1906.03439

Convergence in Density of Splitting AVF Scheme for Stochastic Langevin Equation

Jianbo Cui·Jialin Hong·Derui Sheng

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Abstract

In this article, we study the density function of the numerical solution of the splitting averaged vector field (AVF) scheme for the stochastic Langevin equation. To deal with the non-globally monotone coefficient in the considered equation, we first present the exponential integrability properties of the exact and numerical solutions. Then we show the existence and smoothness of the density function of the numerical solution by proving its uniform non-degeneracy in Malliavin sense. In order to analyze the approximate error between the density function of the exact solution and that of the numerical solution, we derive the optimal strong convergence rate in every Malliavin--Sobolev norm of the numerical scheme via Malliavin calculus. Combining the approximation result of Donsker's delta function and the smoothness of the density functions, we prove that the convergence rate in density coincides with the optimal strong convergence rate of the numerical scheme.

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BibTeX RIS

Jianbo Cui, Jialin Hong, Derui Sheng. 2019-06-08. Convergence in Density of Splitting AVF Scheme for Stochastic Langevin Equation. https://arxiv.org/abs/1906.03439

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