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Computer Research and Modeling, 2012, Volume 4, Issue 2, Pages 325–338
DOI: https://doi.org/10.20537/2076-7633-2012-4-2-325-338 (Mi crm491) 		 
This article is cited in 3 scientific papers (total in 3 papers)

NUMERICAL METHODS AND THE BASIS FOR THEIR APPLICATION

Analysis of simplifications of numerical schemes for Langevin equation, effect of variations in the correlation of augmentations

D. A. Turchenkova, M. A. Turchenkovb

a National Research Nuclear University MEPhI, 31 Kashirskoe shosse, Moscow, 115409, Russia
b BioSim Research Group, 55 Kashirskoe shosse, Moscow, 115211, Russia
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DOI: https://doi.org/10.20537/2076-7633-2012-4-2-325-338
URL: https://crm.ics.org.ru/journal/article/1892
Abstract: The possibility to simplify the integration of Langevin equation using the variation of correlation between augmentation was researched. The analytical expression for a set of numerical schemes is presented. Its shown that asymptotic limits for squared velocity depend on step size. The region of convergence and the convergence orders were estimated. It turned out that the incorrect correlation between increments decrease the accuracy down to the level of first-order methods for schemes based on precise solution.
Keywords: diffusion, Langevin equation, stochastic differential equations, correlation, convergence order.
Received: 09.04.2012
Revised: 17.04.2012
Document Type: Article
UDC: 519.21
Language: Russian
Citation: D. A. Turchenkov, M. A. Turchenkov, “Analysis of simplifications of numerical schemes for Langevin equation, effect of variations in the correlation of augmentations”, Computer Research and Modeling, 4:2 (2012), 325–338
Citation in format AMSBIB
\Bibitem{TurTur12}
\by D.~A.~Turchenkov, M.~A.~Turchenkov
\paper Analysis of simplifications of numerical schemes for Langevin equation,
effect of variations in the correlation of augmentations
\jour Computer Research and Modeling
\yr 2012
\vol 4
\issue 2
\pages 325--338
\mathnet{http://mi.mathnet.ru/crm491}
\crossref{https://doi.org/10.20537/2076-7633-2012-4-2-325-338}
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    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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