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Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds

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A. Laurent and G. Vilmart

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Abstract. We derive a new methodology for the construction of high order integrators for sampling the invariant measure of ergodic stochastic differential equations with dynamics constrained on a manifold. We obtain the order conditions for sampling the invariant measure for a class of Runge-Kutta methods applied to the constrained overdamped Langevin equation. The analysis is valid for arbitrarily high order and relies on an extension of the exotic aromatic Butcher-series formalism. To illustrate the methodology, a method of order two is introduced, and numerical experiments on the sphere, the torus and the special linear group confirm the theoretical findings.

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Key Words. constrained stochastic differential equations, manifolds, invariant measure, ergodicity, exotic aromatic B-series, order conditions.

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