A Second-Order Strong Method for the Langevin Equations with Holonomic Constraints

DOI10.1137/100785600zbMath1239.60046OpenAlexW1972331200MaRDI QIDQ3095078

Bakytzhan Kallemov, Gregory Hale Miller

Publication date: 28 October 2011

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100785600

zbMATH Keywords

Ornstein-Uhlenbeck processLangevin equationsmultiple stochastic integralsstochastic particle dynamicsstrong order

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Diffusion processes and stochastic analysis on manifolds (58J65) Numerical investigation of stability of solutions to ordinary differential equations (65L07)

Related Items (1)

Stochastic dynamics for inextensible fibers in a spatially semi-discrete setting

Uses Software

• MPFR
• MersenneTwister

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