期刊
JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT
卷 -, 期 -, 页码 -出版社
IOP PUBLISHING LTD
DOI: 10.1088/1742-5468/2015/06/P06039
关键词
stochastic particle dynamics (theory); diffusion
We propose a novel stochastic method to exactly generate Brownian paths conditioned to start at an initial point and end at a given final point during a fixed time t(f). These paths are weighted with a probability given by the overdamped Langevin dynamics. We show how these paths can be exactly generated by a local stochastic differential equation. The method is illustrated on the generation of Brownian bridges, Brownian meanders, Brownian excursions and constrained Ornstein-Uhlenbeck processes. In addition, we show how to solve this equation in the case of a general force acting on the particle. As an example, we show how to generate a constrained path joining the two minima of a double-well. Our method allows us to generate statistically independent paths and is computationally very efficient.
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