Seonglae ChoA method of generating individual sample trajectories by solving SDE
A motion equation with both drift (regular) term and stochastic noise term
where means (Gaissian) white noise.
The Langevin equation describes individual sample paths while the Fokker–Planck equation describes the evolution of the entire distribution, which are equivalent descriptions.
Langevin dynamics Notion
Langevin dynamics
In physics, Langevin dynamics is an approach to the mathematical modeling of the dynamics of molecular systems using the Langevin equation. It was originally developed by French physicist Paul Langevin. The approach is characterized by the use of simplified models while accounting for omitted degrees of freedom by the use of stochastic differential equations. Langevin dynamics simulations are a kind of Monte Carlo simulation.[1]
https://en.wikipedia.org/wiki/Langevin_dynamics