Numerical approximation and fast evaluation of the overdamped generalized Langevin equation with fractional noise
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Publication:5110269
DOI10.1051/m2an/2019067OpenAlexW2897779268MaRDI QIDQ5110269
Publication date: 18 May 2020
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.03810
strong convergencefractional Brownian motionfast algorithmfractional stochastic differential equationsgeneralized Langevin equation
Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Related Items (6)
Strong error analysis of Euler methods for overdamped generalized Langevin equations with fractional noise: Nonlinear case ⋮ The overdamped generalized Langevin equation with Hermite noise ⋮ Strong \(1.5\) order scheme for fractional Langevin equation based on spectral approximation of white noise ⋮ Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis ⋮ Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method ⋮ A note on Euler method for the overdamped generalized Langevin equation with fractional noise
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