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Spectrum of certain non-self-adjoint operators and solutions of Langevin equations with complex drift
Authors:John R. Klauder  Wesley P. Petersen
Affiliation:(1) AT&T Bell Laboratories, 07974 Murray Hill, New Jersey
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.
Keywords:Diffusion  complex drift  non-self-adjoint Hamiltonian  Langevin equation  numerical solutions
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