Fast and precise algorithm for computer simulation of stochastic differential equations
Abstract
We present and discuss an algorithm for integrating a set of stochastic differential equations driven by colored noise. The algorithm, being fully implicit for the stochastic differential equation governing the noise, is stable upon changing τ (the noise correlation time) to any desired value. In particular, the limit of vanishingly small τ can be safely taken, and the algorithm yields the corresponding white-noise quantities in a natural way.
- Publication:
-
Physical Review A
- Pub Date:
- September 1989
- DOI:
- 10.1103/PhysRevA.40.3381
- Bibcode:
- 1989PhRvA..40.3381M
- Keywords:
-
- 02.70.+d;
- 05.40.+j;
- 02.50.+s