Numerical integration of the Langevin equation: Monte Carlo simulation

DOI10.1016/0021-9991(80)90084-4zbMath0434.65119OpenAlexW2100061021MaRDI QIDQ1139931

Donald L. Ermak, Helen Buckholtz

Publication date: 1980

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0021-9991(80)90084-4

zbMATH Keywords

Langevin equationBrownian motion of particlesexponential memory functionheat bath thermodynamic equilibrium

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-ordinary differential equations (45J05) Brownian motion (60J65) Statistical thermodynamics (82B30) Probabilistic methods, stochastic differential equations (65C99)

Related Items (17)

On the relative dynamics of pairs of atoms in simple liquids ⋮ On the long-term simulation of stochastic differential equations for predicting effective dispersion coefficients ⋮ An efficient algorithm for the Brownian dynamics simulation of aggregation ⋮ Parallel Optimized Sampling for Stochastic Equations ⋮ Uniform strong and weak error estimates for numerical schemes applied to multiscale SDEs in a Smoluchowski-Kramers diffusion approximation regime ⋮ A transformed path integral approach for solution of the Fokker-Planck equation ⋮ Transient probability density of nonlinear oscillator under parametric harmonic and external modulated stochastic excitations ⋮ Bayesian Stochastic Gradient Descent for Stochastic Optimization with Streaming Input Data ⋮ Stochastic work extraction in a colloidal heat engine in the presence of colored noise ⋮ Computer simulation study on filtration of soot particles in diesel particulate filter ⋮ Predictive drug dosage control through a Fokker-Planck observer ⋮ An effective algorithm for simulating diffusion-driven aggregation ⋮ Analysis of transport properties determined by Langevin dynamics using Green-Kubo formulae ⋮ Convergence of thermodynamic quantities and work fluctuation theorems in the presence of random protocols ⋮ Computer simulations of multiplicative stochastic differential equations ⋮ Stochastic calculus in physics ⋮ Particle Monte Carlo and lattice-Boltzmann methods for simulations of gas-particle flows

Cites Work

• Stochastic Problems in Physics and Astronomy
• On the Theory of the Brownian Motion II
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Numerical integration of the Langevin equation: Monte Carlo simulation