English

A Note on the Smoluchowski-Kramers Approximation for the Langevin Equation with Reflection

Probability 2010-11-30 v1

Abstract

According to the Smoluchowski-Kramers approximation, the solution of the equation μq¨tμ=b(qtμ)q˙tμ+Σ(qtμ)W˙t,q0μ=q,q˙0μ=p{\mu}\ddot{q}^{\mu}_t=b(q^{\mu}_t)-\dot{q}^{\mu}_t+{\Sigma}(q^{\mu}_t)\dot{W}_t, q^{\mu}_0=q, \dot{q}^{\mu}_0=p converges to the solution of the equation q˙t=b(qt)+Σ(qt)W˙t,q0=q\dot{q}_t=b(q_t)+{\Sigma}(q_t)\dot{W}_t, q_0=q as {\mu}->0. We consider here a similar result for the Langevin process with elastic reflection on the boundary.

Keywords

Cite

@article{arxiv.1004.3043,
  title  = {A Note on the Smoluchowski-Kramers Approximation for the Langevin Equation with Reflection},
  author = {Konstantinos Spiliopoulos},
  journal= {arXiv preprint arXiv:1004.3043},
  year   = {2010}
}

Comments

14 pages, 2 figures