Spectrum of certain non-self-adjoint operators and solutions of Langevin equations with complex drift |
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Authors: | John R. Klauder Wesley P. Petersen |
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Affiliation: | (1) AT&T Bell Laboratories, 07974 Murray Hill, New Jersey |
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Abstract: | As part of a program to evaluate expectations in complex distributions by longterm averages of solutions to Langevin equations with complex dirft, a simple one-dimensional example is examined in some detail. The validity and rate of convergence of this scheme depends on the spectrum of an associated non-selfadjoint Hamiltonian which is found numerically. In the regime where the stochastic evaluation should be accurate numerical solution of the Langevin equation shows this to be the case. |
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Keywords: | Diffusion complex drift non-self-adjoint Hamiltonian Langevin equation numerical solutions |
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