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Effective Langevin equations for constrained stochastic processes
| Content Provider | Scilit |
|---|---|
| Author | Majumdar, Satya N. Orland, Henri |
| Copyright Year | 2015 |
| Description | Journal: Journal of Statistical Mechanics: Theory and Experiment We propose a novel stochastic method to exactly generate Brownian paths conditioned to start at an initial point and end at a given final point during a fixed time $t_{f}$. These paths are weighted with a probability given by the overdamped Langevin dynamics. We show how these paths can be exactly generated by a local stochastic differential equation. The method is illustrated on the generation of Brownian bridges, Brownian meanders, Brownian excursions and constrained Ornstein–Uhlenbeck processes. In addition, we show how to solve this equation in the case of a general force acting on the particle. As an example, we show how to generate a constrained path joining the two minima of a double-well. Our method allows us to generate statistically independent paths and is computationally very efficient. |
| Related Links | http://arxiv.org/pdf/1503.02639 http://iopscience.iop.org/article/10.1088/1742-5468/2015/06/P06039/pdf |
| ISSN | 17425468 |
| e-ISSN | 17425468 |
| DOI | 10.1088/1742-5468/2015/06/p06039 |
| Journal | Journal of Statistical Mechanics: Theory and Experiment |
| Issue Number | 6 |
| Volume Number | 2015 |
| Language | English |
| Publisher | IOP Publishing |
| Publisher Date | 2015-06-01 |
| Access Restriction | Open |
| Subject Keyword | Journal: Journal of Statistical Mechanics: Theory and Experiment Mathematical Physics Stochastic Processes Exactly Generated Generate Brownian |
| Content Type | Text |
| Resource Type | Article |
| Subject | Statistics and Probability Statistical and Nonlinear Physics Statistics, Probability and Uncertainty |
