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math.NA2018★ 4 cited
Numerical methods for stochastic differential equations based on Gaussian mixture
Lei Li, Jianfeng Lu, Jonathan Mattingly +1
We develop in this work a numerical method for stochastic differential equations (SDEs) with weak second order accuracy based on Gaussian mixture. Unlike the conventional higher or…
math.NA2018
Numerical study of ergodicity for the overdamped Generalized Langevin Equation with fractional noise
Di Fang, Lei Li
The Generalized Langevin Equation, in history, arises as a natural fix for the rather traditional Langevin equation when the random force is no longer memoryless. It has been prove…