Numerical Stochastic Integration for Quasi-Symplectic Flows

DOI10.1137/040620965MaRDI QIDQ5470407zbMATH OpenOpenAlexDBLPWikidataFDO

Authors R. Mannella

Publication date 30 May 2006

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

Full work available at URL https://doi.org/10.1137/040620965

zbMATH Keywords

Langevin equationsnumerical examplesnumerical integrationstochastic differential equationssymplectic integration

Mathematics Subject Classification ID

Generation, random and stochastic difference and differential equations (37H10) Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

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Cited in

(14)

• Semi-integral scheme for simulation of Langevin equation with weak inertia
• Recovering the Fourier law in harmonic chains: a Hamiltonian realization of the Debye/Visscher model
• Deterministic and stochastic algorithms for mechanical systems under constraints
• Ito's theorem and stochastic simulation
• A linearly scaling grid method for generalized Langevin and other integrodifferential equations
• Quasi-symplectic methods for Langevin-type equations
• Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations
• Metropolis integration schemes for self-adjoint diffusions
• Langevin methods
• Strong 1.5 order scheme for fractional Langevin equation based on spectral approximation of white noise
• Comparison of effective and stable Langevin dynamics integrators
• Learning effective stochastic differential equations from microscopic simulations: linking stochastic numerics to deep learning
• Computing ergodic limits for Langevin equations
• On estimating stress in free-draining Kramers chain simulations using stochastic filtering

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Uses Software

• RANLUX

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