On a class of non-Markovian Langevin equations (Q2873511)
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scientific article; zbMATH DE number 6250052
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a class of non-Markovian Langevin equations |
scientific article; zbMATH DE number 6250052 |
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24 January 2014
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Langevin equation
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non-Markovian processes
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Gaussian transform
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On a class of non-Markovian Langevin equations (English)
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A modified Langevin equation is considered, which is a Newtonian dynamics with an additional drift term for the velocity field given by a convolution integral that captures memory effect, in addition to a Gaussian non-Markovian noise term. Well-posedness of this equation is established using Picard-like iterations. An approximation scheme based on discretization in frequency domains is described and rigorously justified. Examples to the Langevin equation driven by fractional Brownian motion and a model in viscoelasticity are given.
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