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Assume we have a generic overdamped Langevin equation $$ \frac{d {\bf{x}} }{dt} = {\bf{f}}({\bf{x}}) + B {\bf{w}}(t) $$ where $\bf{f}$ is a deterministic external (and fixed) force field (non necessarily arising from a potential), $B>0$ is a constant and $\bf{w}$ is the usual $D$-dimensional white noise term (the position ${\bf{x}}$ is a point in $\mathbb{R}^D$).

We can simulate the dynamics by using the Euler-Maruyama method. Since $B$ is a constant, in this case the Milstein method is equivalent to the Euler-Maruyama one. Improved methods exists, for example the Runge-Kutta one, adapted to account for the noise.

I wonder if there is also something similar to an explicit Adams-Bashforth method of some order, and if there is a clear reference where explicit methods for the overdamped Langevin are discussed (I am looking at explicit methods that is accurate with the deterministic part, see the "edit" below for the specific problem).

In the case ${\bf{f}}$ is non-linear and oscillating (but bounded), is it bad practice to rely on explicit methods? Is there some "common knowledge" or "heuristics" on how to treat conveniently the integration of such an equation in $D>1$?

Edit: for definiteness, I have to deal with something like ($D=2$) $$ \frac{d { {x}} }{dt} = {{f}_1}({x,y}) + B {{w_1}}(t) \\ \frac{d { {y}} }{dt} = {{f}_2}({x,y}) + B {{w_2}}(t) $$ where $(f_1 , f_2)= (0,a) - (\partial_1 \phi , \partial_2 \phi) + r (-\partial_2 \phi , \partial_1 \phi)$. This force is not a potential one (it is only if $r=0$) and there is a constant drift term $(0,a)$. The external potential is $\phi(x,y) = \sin(x) \sin(y)$. I am interested in the average velocity, $$ \lim_{t\rightarrow \infty} \frac{{\bf{x}}(t) - {\bf{x}}(0)}{t} $$

Qmechanic
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Quillo
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    I could recommend this review as a good starting point: https://journals.aps.org/rmp/abstract/10.1103/RevModPhys.62.251 Note however that normally one is interested in quantities like escape/survival time, etc. – Roger V. Oct 02 '20 at 12:22
  • Thank you! Here I am interested in the average velocity defined as $({\bf{x}}(T) - {\bf{x}}(0) )/T$ for a very long time interval $T$. Maybe this is relevant and I should add it to the question (I need a method that is "reliable" on long time intervals for what concerns the positions, not the energy or other things). – Quillo Oct 02 '20 at 12:32
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    It is also worthwhile specifying your potential/force more explicitly in the question. The problem with escape times is that they increase exponentially and modeling them in terms of real-time Monte Carlo becomes impractical... I've been there :) – Roger V. Oct 02 '20 at 12:38
  • Related: https://physics.stackexchange.com/q/245154/226902 – Quillo Oct 10 '22 at 13:10

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