An adaptive scheme for the approximation of dissipative systems

We propose a new scheme for the long time approximation of a diffusion when the drift vector field is not globally Lipschitz. Under this assumption, regular explicit Euler scheme –with constant or decreasing step– may explode and implicit Euler scheme are CPU-time expensive. The algorithm we introduce is explicit and we prove that any weak limit of the weighted empirical measures of this scheme is a stationary distribution of the stochastic differential equation. Several examples are presented including gradient dissipative systems and Hamiltonian dissipative systems.