Numerical simulations of generalized Langevin equations with deeply asymptotic parameters

DOI10.1016/J.JCP.2003.11.025zbMath1056.65004OpenAlexW1966223470MaRDI QIDQ598144

Wei Wu, Rongwu Li, Jing-Dong Bao

Publication date: 6 August 2004

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

Full work available at URL: https://doi.org/10.1016/j.jcp.2003.11.025

zbMATH Keywords

numerical examplesperiodic motionRunge-Kutta methodStabilityLangevin equationsnon-Markovian processDamping integrationDeeply asymptotic parameters

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Numerical simulations of stochastic differential equations
• Computer simulations of multiplicative stochastic differential equations
• The Fokker-Planck equation. Methods of solution and applications.
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Semi-integral scheme for simulation of Langevin equation with weak inertia

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