Convergence of the likelihood ratio method for linear response of non-equilibrium stationary states

Petr Plechac, Gabriel Stoltz, Ting Wang

Abstract: We consider numerical schemes for computing the linear response of steady-state averages with respect to a perturbation of the drift part of the stochastic differential equation. The schemes are based on the Girsanov change-of-measure theory in order to reweight trajectories with factors derived from a linearization of the Girsanov weights. The resulting estimator is the product of a time average and a martingale correlated to this time average. We investigate both its discretization and finite-time approximation errors. The designed numerical schemes are shown to be of a bounded variance with respect to the integration time which is desirable feature for long time simulations. We also show how the discretization error can be improved to second-order accuracy in the time step by modifying the weight process in an appropriate way.