Numerical study of ergodicity for the overdamped Generalized Langevin Equation with fractional noise

Abstract

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 proved that with fractional Gaussian noise (fGn) mostly considered by biologists, the overdamped Generalized Langevin equation satisfying fluctuation-dissipation theorem can be written as a fractional stochastic differential equation (FSDE). While the ergodicity is clear for linear forces, it remains less transparent for nonlinear forces. In this work, we present both a direct and a fast algorithm respectively to this FSDE model. The strong orders of convergence are proved for both schemes, where the role of the memory effects can be clearly observed. We verify the convergence theorems using linear forces, and then present the ergodicity study of the double well potentials in both 1D and 2D setups