A new algorithm for numerical simulation of Langevin equations
Abstract
Formulated is a new systematic method for obtaining higher order corrections in numerical simulation of stochastic differential equations (SDEs), i.e., Langevin equations. Random walk step algorithms within a given order of finite Δt, are obtained so as to reproduce within that order a corresponding transition density of the FokkerPlanck equations, in the weak Taylor approximation scheme [1]. A great advantage of our method is its straightforwardness such that direct perturbative calculations produce the algorithm as an end result, so that the procedure is tractable by computer. Examples in general form for curved space cases as well as flat space cases are given in some order of approximations. Simulations are performed for specific examples of U(1) system and SU(2) systems, respectively.
 Publication:

Nuclear Physics B Proceedings Supplements
 Pub Date:
 February 1997
 DOI:
 10.1016/S09205632(96)008341
 arXiv:
 arXiv:heplat/9610017
 Bibcode:
 1997NuPhS..53..983N
 Keywords:

 High Energy Physics  Lattice
 EPrint:
 4 pages,latex,2 figures(GNU plot).Presented at LATTICE96(algorithms), the International Symposium on Lattice Field Theory, 4  8 June 1996, in St. Louis, Missouri, USA