A second-order strong method for the Langevin equations with holonomic constraints

SIAM Journal on Scientific Computing

Volumn 33, Issue 2, 2011, Pages 653-676

  Kallemov, Bakytzhan ^a   Miller, Gregory H ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Langevin equations; Multiple stochastic integrals; Ornstein uhlenbeck process; Stochastic particle dynamics; Strong order

Indexed keywords

DIFFERENTIAL EQUATIONS; INTEGRAL EQUATIONS; NUMERICAL METHODS; STOCHASTIC SYSTEMS;

HOLONOMIC CONSTRAINTS; LANGEVIN EQUATION; MULTIPLE STOCHASTIC INTEGRALS; ORNSTEIN-UHLENBECK PROCESS; PARTICLE DYNAMICS; SECOND ORDERS; STOCHASTIC PARTICLE DYNAMIC; STOCHASTICS; STRONG ORDER; TIME STEP;

LAGRANGE MULTIPLIERS;

EID: 79957587641     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/100785600     Document Type: Article

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