Langevin molecular dynamics derived from Ehrenfest dynamics

Stochastic Langevin molecular dynamics for nuclei is derived from the Ehrenfest Hamiltonian system (also called quantum classical molecular dynamics) in a Kac-Zwanzig setting, with the initial data for the electrons stochastically perturbed from the ground state and the ratio, $M$, of nuclei and electron mass tending to infinity. The Ehrenfest nuclei dynamics is approximated by the Langevin dynamics with accuracy $o(M^{-1/2})$ on bounded time intervals and by $o(1)$ on unbounded time intervals, which makes the small $\mathcal{O}(M^{-1/2})$ friction and $o(M^{-1/2})$ diffusion terms visible. The initial electron probability distribution is a Gibbs density at low temperture, derived by a stability and consistency argument: starting with any equilibrium measure of the Ehrenfest Hamiltonian system, the initial electron distribution is sampled from the equilibrium measure conditioned on the nuclei positions, which after long time leads to the nuclei positions in a Gibbs distribution (i.e. asymptotic stability); by consistency the original equilibrium measure is then a Gibbs measure.The diffusion and friction coefficients in the Langevin equation satisfy the Einstein's fluctuation-dissipation relation.Comment: 39 pages: modeling and analysis in separate sections. Formulation of initial data simplifie

Monte Carlo Euler approximations of HJM term structure financial models

We present Monte Carlo-Euler methods for a weak approximation problem related to the Heath-Jarrow-Morton (HJM) term structure model, based on \Ito stochastic differential equations in infinite dimensional spaces, and prove strong and weak error convergence estimates. The weak error estimates are based on stochastic flows and discrete dual backward problems, and they can be used to identify different error contributions arising from time and maturity discretization as well as the classical statistical error due to finite sampling. Explicit formulas for efficient computation of sharp error approximation are included. Due to the structure of the HJM models considered here, the computational effort devoted to the error estimates is low compared to the work to compute Monte Carlo solutions to the HJM model. Numerical examples with known exact solution are included in order to show the behavior of the estimates

An a posteriori error estimate for Symplectic Euler approximation of optimal control problems

This work focuses on numerical solutions of optimal control problems. A time discretization error representation is derived for the approximation of the associated value function. It concerns Symplectic Euler solutions of the Hamiltonian system connected with the optimal control problem. The error representation has a leading order term consisting of an error density that is computable from Symplectic Euler solutions. Under an assumption of the pathwise convergence of the approximate dual function as the maximum time step goes to zero, we prove that the remainder is of higher order than the leading error density part in the error representation. With the error representation, it is possible to perform adaptive time stepping. We apply an adaptive algorithm originally developed for ordinary differential equations. The performance is illustrated by numerical tests

Langevin molecular dynamics derived from Ehrenfest dynamics

Abstract. Stochastic Langevin molecular dynamics for nuclei is derived from the Ehrenfest Hamiltonian system (also called quantum classical molecular dynamics) in a Kac-Zwanzig setting, with the initial data for the electrons stochastically perturbed from the ground state and the ratio, M , of nuclei and electron mass tending to infinity. The Ehrenfest nuclei dynamics is approximated by the Langevin dynamics with accuracy o(M −1/2 ) on bounded time intervals and by o(1) on unbounded time intervals, which makes the small O(M −1/2 ) friction and o(M −1/2 ) diffusion terms visible. The initial electron probability distribution is a Gibbs density at low temperture, derived by a stability and consistency argument: starting with any equilibrium measure of the Ehrenfest Hamiltonian system, the initial electron distribution is sampled from the equilibrium measure conditioned on the nuclei positions, which after long time leads to the nuclei positions in a Gibbs distribution (i.e. asymptotic stability); by consistency the original equilibrium measure is then a Gibbs measure. The diffusion and friction coefficients in the Langevin equation satisfy the Einstein's fluctuation-dissipation relation