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Underdamped Langevin dynamics

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Stochastic process Stochastic calculus Stochastic differential equation
2026-09-28  0 By others on same topic  0 Discussions Create my own version
Underdamped Langevin dynamics augments position by momentum and combines Hamiltonian transport with friction and matching Gaussian noise. For potential U, momentum variance η, and friction γ, its invariant density is proportional to exp[−U(x)−∣p∣2/(2η)].

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  1. Stochastic differential equation
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  • Past exam of the mathematics course of the University of Cambridge / 2022 / iii / Paper 356 / 2 / a / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 216 / 4 / c / Solution

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