On the Numerical Stationary Distribution of Overdamped Langevin Equation in Harmonic System

Abstract

Abstract Efficient numerical algorithm for stochastic differential equation has been an important object in the research of statistical physics and mathematics for a long time. In this paper we study the highly accurate numerical algorithm of the overdamped Langevin equation. In particular, our interest is the behaviour of the numerical schemes for solving the overdamped Langevin equation in the harmonic system. Three algorithms are obtained for overdamped Langevin equation, from the large friction limit of the schemes for underdamped Langevin dynamics. We derive the explicit expression of the stationary distribution of each algorithm by analysing the discrete time trajectory, for both one-dimensional and multi-dimensional cases. The accuracy of the stationary distribution of each algorithm is illustrated by comparing to the exact Boltzmann distribution. Our results demonstrate that, the “BAOA-limit” algorithm generates the exact distribution for the harmonic system in the canonical ensemble, within the stable regime of the time interval. The other algorithms do not produce the exact distribution of the harmonic system.