Langevin Dynamics

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120sadvanced (8/10)state theorem

The overdamped Langevin SDE d X_{t} = - \nabla U (X_{t}) d t + 2 d W_{t} has invariant measure π (x) \propto e^{- U (x)} . Which sampler corresponds most directly to the standard Euler-Maruyama discretization of this SDE?