Équation de Langevin

Léquation de Langevin' (1908) est une équation stochastique pour le mouvement brownien. : \underbrace{m\frac{d^2x(t)}{d^2t}}{\text{force inertielle}}=\underbrace{-6 \pi \eta R \frac{dx(t)}{dt} }{\text{force de Stokes}}+\underbrace{-\frac F L x(t)}{\rm{force\ ext\acute{e}rieure}}+\underbrace{f_a(t)}{\rm{force\ al\acute{e}atoire}} Théorie de Langevin du mouvement brownien Dans l'approche théorique de Langevin, une grosse particule brownienne de masse m, supposée animée à l'instant t d'une vitesse \vec{v}(t) , est soumise à deux forces bien distinctes :

une force de frottement fluide du type \vec{f} , = , - , k , \vec{v} , où k est une constante positive. Dans le cas d'une particule sphérique de rayon a, cette constante s'écrit explicitement : k = 6 \pi \eta a (loi de Stokes).
une force complémentaire, notée \vec{\eta}(t) , qui synthétise la résultante des chocs aléatoires des mo

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On The Stochastic Modeling Of Rigid Body Systems With Application To Polymer Dynamics

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The stochastic equations of motion for a system of interacting rigid bodies in a solvent are formulated and studied. Three-dimensional bodies of arbitrary shape, with arbitrary couplings between translational and rotational degrees of freedom, as arise in coarse-grained models of polymers, are considered. Beginning from an Euler-Langevin form of the equations, two different, properly invariant, Hamilton-Langevin forms are derived and studied together with various associated measures. Under different conditions depending on the choice of rotational coordinates, the canonical measure is shown to be a stationary solution of an associated Fokker-Planck equation and to always factorize into independent measures on configuration and velocity spaces. Explicit expressions are given for these measures, along with a certain Jacobian factor associated with the three-dimensional rotation group. When specialized to a fully coupled, quadratic model of a stiff polymer such as DNA, our results yield an explicit characterization of the complete set of model parameters.

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MATHICSE Technical Report : Drift Estimation of Multiscale Diffusions Based on Filtered Data

Assyr Abdulle, Giacomo Garegnani, Andrea Zanoni

We study the problem of drift estimation for two-scale continuous time series. We set ourselves in the framework of overdamped Langevin equations, for which a single-scale surrogate homogenized equation exists. In this setting, estimating the drift coefficient of the homogenized equation requires pre-processing of the data, often in the form of subsampling; this is because the two-scale equation and the homogenized single-scale equation are incompatible at small scales, generating mutually singular measures on the path space. We avoid subsampling and work instead with filtered data, found by application of an appropriate kernel function, and compute maximum likelihood estimators based on the filtered process. We show that the estimators we propose are asymptotically unbiased and demonstrate numerically the advantages of our method with respect to subsampling. Finally, we show how our filtered data methodology can be combined with Bayesian techniques and provide a full uncertainty quantification of the inference procedure.

EPFL2020

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Drift Estimation of Multiscale Diffusions Based on Filtered Data

Assyr Abdulle, Giacomo Garegnani, Andrea Zanoni

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